<SEC-DOCUMENT>0000891092-12-002475.txt : 20120501
<SEC-HEADER>0000891092-12-002475.hdr.sgml : 20120501
<ACCEPTANCE-DATETIME>20120501142007
ACCESSION NUMBER:		0000891092-12-002475
CONFORMED SUBMISSION TYPE:	N-CSRS
PUBLIC DOCUMENT COUNT:		8
CONFORMED PERIOD OF REPORT:	20120229
FILED AS OF DATE:		20120501
DATE AS OF CHANGE:		20120501
EFFECTIVENESS DATE:		20120501

FILER:

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

	FILING VALUES:
		FORM TYPE:		N-CSRS
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-21413
		FILM NUMBER:		12799629

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

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

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	FLOATING RATE INCOME STRATEGIES FUND INC
		DATE OF NAME CHANGE:	20030813
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-CSRS
<SEQUENCE>1
<FILENAME>e48204ncsrs.htm
<DESCRIPTION>SEMI-ANNUAL REPORT
<TEXT>
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<P STYLE="font: 12pt, Sans-Serif; margin: 0 0 0 78pt; text-indent: -78pt"><FONT STYLE="vertical-align: baseline"><B>&nbsp;</B></FONT></P>

<P STYLE="margin: 0 0 0 77.75pt; font-size: 12pt; text-align: center; text-indent: -77.75pt"><FONT STYLE="font-weight: normal; vertical-align: baseline">UNITED
STATES</FONT></P>

<P STYLE="margin: 0 0 0 77.75pt; font-size: 12pt; text-align: center; text-indent: -77.75pt"><FONT STYLE="font-weight: normal; vertical-align: baseline">SECURITIES
AND EXCHANGE COMMISSION </FONT></P>

<P STYLE="margin: 0 0 0 77.75pt; font-size: 12pt; text-align: center; text-indent: -77.75pt"><FONT STYLE="font-weight: normal; vertical-align: baseline">Washington,
D.C. 20549</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 78pt; text-indent: -0.5in">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 77.75pt; text-align: center; text-indent: -77.75pt"><B>FORM N-CSR</B></P>

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

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0; text-align: center; text-indent: 0in"><B>CERTIFIED SHAREHOLDER REPORT
OF REGISTERED MANAGEMENT INVESTMENT COMPANIES</B></P>

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

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">Investment Company Act file number
811-21413</P>

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">Name of Fund: BlackRock Floating
Rate Income Strategies Fund, Inc. (FRA)</P>

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

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

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

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

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

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

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

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

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">Date of reporting period: 02/29/2012</P>

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt">Item 1 &ndash; Report to Stockholders</P>

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


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<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 50%"><IMG SRC="blackrocklogo.jpg" ALT=""></TD>
    <TD STYLE="width: 50%; text-align: right; vertical-align: middle"><P><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #231f20"><B>February
                                                                      29, 2012</B></FONT></P></TD></TR>
</TABLE>



<P STYLE="text-align: left; margin-top: 72pt; font: 18pt Times New Roman, Times, Serif; background-color: rgb(57,76,135); color: White; padding-top: 12pt; padding-bottom: 12pt; padding-left: 12pt">Semi-Annual
Report (Unaudited)</P>
<P STYLE="text-align: left; margin-left: 12pt; margin-top: 0; margin-bottom: 72pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BlackRock
Defined Opportunity Credit Trust (BHL)<BR>
<BR>
BlackRock Diversified Income Strategies Fund, Inc. (DVF)<BR>
<BR>
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)<BR>
<BR>
BlackRock Limited Duration Income Trust (BLW)</FONT></P>
<P STYLE="text-align: center; border: Black 1pt solid; font: 10pt Times New Roman, Times, Serif; margin-right: 50%"><B>Not
FDIC Insured &#149; No Bank Guarantee &#149; May Lose Value</B></P>
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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_2"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Table
of Contents</FONT></P>
<P style="text-align: left;"></P>
<TABLE BORDER="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">
<TR>
     <TD COLSPAN="2" STYLE="text-align: right; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Page</B></FONT></TD></TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><A HREF="#zza_001"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dear Shareholder</FONT></A></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Semi-Annual Report:</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><A HREF="#zza_002"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fund Summaries</FONT></A></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><A HREF="#zza_003"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Benefits and Risks of Leveraging</FONT></A></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><A HREF="#zza_004"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Derivative Financial Instruments</FONT></A></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Financial Statements</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; text-indent: 12px"><A HREF="#zza_006"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Schedules of Investments</FONT></A></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; text-indent: 12px"><A HREF="#zza_007"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Statements of Assets and Liabilities</FONT></A></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; text-indent: 12px"><A HREF="#zza_008"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Statements of Operations</FONT></A></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; text-indent: 12px"><A HREF="#zza_009"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Statements of Changes in Net Assets</FONT></A></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; text-indent: 12px"><A HREF="#zza_010"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Statements of Cash Flows</FONT></A></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><A HREF="#zza_011"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Financial Highlights</FONT></A></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><A HREF="#zza_012"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notes to Financial Statements</FONT></A></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><A HREF="#zza_013"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Officers and Directors</FONT></A></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><A HREF="#zza_014"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Additional Information</FONT></A></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64</FONT></TD> </TR> </TABLE><BR>
<BR>
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<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><A NAME="zza_001"></A>Dear
Shareholder</FONT></P>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Risk assets were advancing at this time last
year despite a wave of geopolitical revolutions, soaring oil prices and natural disasters in Japan. Markets reversed sharply in
May, however, when escalating political strife in Greece rekindled fears about sovereign debt problems spreading across Europe.
Concurrently, global economic indicators signaled that the recovery had slowed. Confidence was further shaken by the prolonged
debt ceiling debate in Washington, DC. On August 5, 2011, Standard &amp; Poor&#146;s downgraded the US government&#146;s credit
rating and turmoil erupted in financial markets around the world. Extraordinary levels of volatility persisted in the months that
followed as Greece teetered on the brink of default, debt problems escalated in Italy and Spain, and exposure to European sovereign
bonds stressed banks globally. Financial markets whipsawed on hopes and fears. Macro news flow became a greater influence on trading
decisions than the fundamentals of the securities traded. By the end of the third quarter, equity markets had fallen nearly 20%
from their April peak while safe-haven assets such as US Treasuries and gold had rallied to historic highs.</FONT></P>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">October brought enough positive economic
data to assuage fears of a global double-dip recession. Additionally, European leaders began to show progress toward stemming
the region&#146;s debt crisis. Investors began to reenter the markets and risk assets recovered through the month. But a lack
of definitive details about Europe&#146;s rescue plan eventually raised doubts among investors and thwarted the rally at the end
of October. The last two months of 2011 saw more political instability in Greece, unsustainable yields on Italian government bonds,
and US policymakers in gridlock over budget issues. Global central bank actions and improving economic data invigorated the markets,
but investor confidence was easily tempered by sobering news flow.</FONT></P>

<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investors showed more optimism at the start
of 2012. Risk assets rallied through January and February as economic data grew stronger and debt problems in Europe stabilized.
In the United States, jobs data signaled solid improvement in the labor market and the Federal Reserve indicated that it would
keep short-term interest rates low through 2014. In Europe, policymakers made significant progress toward securing a Greek bailout
plan and restructuring the nation&#146;s debt. Nevertheless, considerable headwinds remain. Europe faces a prolonged recession,
the US economy still remains somewhat shaky and the risks of additional flare ups of euro-zone debt problems and slowing growth
in China weigh heavily on the future of the global economy.</FONT></P>

<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Risk assets, including equities and high
yield bonds, recovered their late-summer losses and posted strong returns for the 6-month period ended February 29, 2012. On a
12-month basis, US large-cap stocks and high yield bonds delivered positive results, while small-cap and emerging-market stocks
finished slightly negative. International markets, which experienced some significant downturns in 2011, lagged the broader rebound.
Fixed income securities, which benefited from declining yields, advanced over the 6- and 12-month periods. Despite their quality
rating downgrade, US Treasury bonds performed particularly well. Municipal bonds also delivered superior results. Continued low
short-term interest rates kept yields on money market securities near their all-time lows.</FONT></P>

<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Many of the themes that caused uncertainty
in 2011 remain. For investors, the risks appear daunting, but this challenging environment offers new opportunities. BlackRock
was built for these times. Visit <B><I>blackrock.com/newworld </I></B>for more information.</FONT></P>

<P STYLE="text-align: left; margin-bottom: 0pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sincerely,</FONT></P>

<P><IMG SRC="kapito_sig.jpg"></p>

<P STYLE="text-align: left; margin-top: 0pt; margin-bottom: 0pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Rob Kapito<BR></B>President, BlackRock
Advisors, LLC</FONT></P>

</DIV><DIV style="width: 38%; float: right;">

<P><IMG SRC="robkapito.jpg"></p>

<P STYLE="text-align: left; margin-top: 0pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><I>&#147;For investors, the risks appear daunting, but this challenging
environment offers new opportunities. BlackRock was built for these times.&#148;</I></FONT></P>

<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Rob Kapito<BR>
</B>President, BlackRock Advisors, LLC</FONT></P>

<P STYLE="text-align: left; border-top: rgb(57,76,165) 2pt solid; padding-top: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
Returns as of February 29, 2012</B></FONT></P>

<TABLE CELLSPACING="0" BORDER="0" CELLPADDING="0" STYLE="font: 8pt Arial; width: 100%">
<TR valign="bottom">
     <TD STYLE="background-color: #000000; text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD bgcolor="#000000" align=center colspan=2 style="border-bottom:1px solid #000000;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #ffffff">6-month</FONT></TD>
     <TD bgcolor="#000000" align=center colspan=2 style="border-bottom:1px solid #000000;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #ffffff">12-month</FONT></TD> </TR>
<TR>
     <TD colspan=5><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; width: 50%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US large cap equities</FONT></TD>
     <TD STYLE="text-align: right; width: 20%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13.31</FONT></TD>
     <TD STYLE="text-align: left; width: 5%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">%</FONT></TD>
     <TD STYLE="text-align: right; width: 20%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.12</FONT></TD>
     <TD STYLE="text-align: left; width: 5%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">%</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(S&amp;P
     500<SUP>&#174; </SUP>Index)</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR>
     <TD colspan=5><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US small cap equities</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12.40</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(Russell
     2000<SUP>&#174; </SUP>Index)</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR>
     <TD colspan=5><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">International equities</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.13</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7.45</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(MSCI Europe, Australasia,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Far
     East Index)</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR>
     <TD colspan=5><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Emerging market</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.27</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.11</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">equities (MSCI Emerging</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Markets
     Index)</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR>
     <TD colspan=5><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3-month Treasury</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.00</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.08</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">bill (BofA Merrill Lynch</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3-Month Treasury</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bill
     Index)</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR>
     <TD colspan=5><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US Treasury securities</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.70</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17.22</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(BofA Merrill Lynch 10-</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Year
     US Treasury Index)</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR>
     <TD colspan=5><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US investment grade</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.73</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.37</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">bonds (Barclays US</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aggregate
     Bond Index)</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR>
     <TD colspan=5><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tax-exempt municipal</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.93</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12.88</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">bonds (S&amp;P Municipal</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bond
     Index)</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR>
     <TD colspan=5><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US high yield bonds</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.62</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.92</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(Barclays US Corporate</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">High Yield 2% Issuer</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capped
     Index)</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD> </TR> </TABLE><BR>
<P STYLE="text-align: left; border-bottom: rgb(57,76,165) 2pt solid; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Past
performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly
in an index.</FONT></P>
</div><br style="clear:both">
<BR>



<!-- Field: Page; Sequence: 4 -->
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<BR>
<TABLE border=0 width=100% cellspacing=0 style="font-family: 'Arial';font-size: 10pt;">
<TR>
     <TD width=53%></TD>
     <TD width=46%></TD></TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><A NAME="zza_002"></A>Fund
     Summary <FONT STYLE="font-size: 10pt">as of February 29, 2012</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Defined Opportunity Credit Trust</B></FONT></TD> </TR> </TABLE><BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Investment
Objective</B></FONT></P>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock Defined Opportunity Credit Trust&#146;s
(BHL) (the &#147;Fund&#148;)</B> primary investment objective is to provide high current income, with a secondary objective of
long-term capital appreciation. The Fund seeks to achieve its investment objectives by investing substantially all of its assets
in loan and debt instruments and loan-related and debt-related instruments (collectively "credit securities"). The Fund invests,
under normal market conditions, at least 80% of its assets in any combination of the following credit securities: (i) senior secured
floating rate and fixed rate loans; (ii) second lien or other subordinated or unsecured floating rate and fixed rate loans or
debt; (iii) credit securities that are rated below investment grade quality; and (iv) investment grade corporate bonds. The Fund
may invest directly in such securities or synthetically through the use of derivatives.</FONT></P>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 20pt; text-indent: 0pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">No
assurance can be given that the Fund&#146;s investment objectives will be achieved.</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Portfolio
Management Commentary</B></FONT></P>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>How did the Fund perform?</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
                                                                                  the six months ended February 29, 2012, the
                                                                                  Fund returned 9.69% based on market price and
                                                                                  8.88% based on net asset value (&#147;NAV&#148;).
                                                                                  For the same period, the closed-end Lipper Loan
                                                                                  Participation Funds category posted an average
                                                                                  return of 12.07% based on market price and 8.96%
                                                                                  based on NAV. All returns reflect reinvestment
                                                                                  of dividends. The Fund's discount to NAV, which
                                                                                  narrowed during the period, accounts for the
                                                                                  difference between performance based on price
                                                                                  and performance based on NAV. The following
                                                                                  discussion relates to performance based on NAV.</FONT></TD>
</TR></TABLE>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>What factors influenced performance?</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Security
                                                                                  selection among higher-quality and non-rated
                                                                                  floating rate loans and common stock had a positive
                                                                                  impact on the Fund&#146;s performance. Selection
                                                                                  in the chemicals and electric sectors also boosted
                                                                                  returns. The Fund&#146;s tactical exposure to
                                                                                  high yield bonds contributed positively as the
                                                                                  asset class outperformed loans given improving
                                                                                  investor demand for riskier assets over the
                                                                                  six-month period.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Detracting
                                                                                  from performance was security selection among
                                                                                  lower-quality loan instruments, an area of the
                                                                                  market that generally carried a less favorable
                                                                                  risk-return profile during the period. The Fund&#146;s
                                                                                  exposure to the paper sector had a negative
                                                                                  effect on returns, as did a tactical allocation
                                                                                  to asset-backed securities via collateralized
                                                                                  loan obligations.</FONT></TD>
</TR></TABLE>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Describe recent portfolio activity.</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
                                                                                  period began with severe market volatility in
                                                                                  reaction to headwinds from Europe&#146;s debt
                                                                                  crisis and a possible US government shut-down.
                                                                                  However, the environment shifted in December
                                                                                  when the European Central Bank announced a long-term
                                                                                  refinancing operation. This liquidity program
                                                                                  provided a much-needed short-term solution for
                                                                                  the financial markets and mitigated the risk
                                                                                  of a collapse in the European banking system.
                                                                                  Moreover, it was the catalyst for a positive
                                                                                  turn in the valuation of risk assets.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">During
                                                                                  the period, the Fund maintained its focus on
                                                                                  the higher quality portions of the loan market
                                                                                  in terms of loan structure, liquidity and overall
                                                                                  credit quality. Given the weak outlook for global
                                                                                  growth, the Fund remained cautious of lower-rated
                                                                                  less-liquid loans. The Fund sought issuers with
                                                                                  attractive risk-reward characteristics and superior
                                                                                  fundamentals. While the developments during
                                                                                  the period bode well for the posture of risk
                                                                                  markets going forward, the Fund continues to
                                                                                  maintain a high quality bias.</FONT></TD>
</TR></TABLE>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Describe portfolio positioning at period
end.</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">At
                                                                                  period end, the Fund held 87% of its total portfolio
                                                                                  in floating rate loan interests (bank loans),
                                                                                  10% in corporate bonds, with the remainder in
                                                                                  asset-backed securities and common stocks. The
                                                                                  Fund&#146;s largest sector exposures included
                                                                                  wireless, non-captive diversified financials
                                                                                  and chemicals. The Fund ended the period with
                                                                                  economic leverage at 22% of its total managed
                                                                                  assets.</FONT></TD>
</TR></TABLE>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 20pt; text-indent: 0pt"><FONT STYLE="font: 8pt 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 views are not intended to be a forecast of future events and are no guarantee of future
results.</FONT></P>
<!-- Field: Page; Sequence: 5; Value: 2 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->4<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">FEBRUARY 29, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<P STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
Defined Opportunity Credit Trust</B></FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Fund
Information</B></FONT></P>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="64%"></TD>
     <TD WIDTH="35%" STYLE="text-align: center; vertical-align: bottom"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Symbol on New York
     Stock Exchange (&#147;NYSE&#148;)</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BHL</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Initial Offering
     Date</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">January
     31, 2008</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Yield on Closing
     Market Price as of February 29, 2012 ($13.45)<SUP>1</SUP></FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.89%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Current Monthly Distribution
     per Common Share<SUP>2</SUP></FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$0.066</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Current Annualized
     Distribution per Common Share<SUP>2</SUP></FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$0.792</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Economic
     Leverage as of February 29, 2012<SUP>3</SUP></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22%</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><SUP>1</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 8pt 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></TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><SUP>2</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">The
                                                                                                                            distribution
                                                                                                                            rate
                                                                                                                            is
                                                                                                                            not
                                                                                                                            constant
                                                                                                                            and
                                                                                                                            is
                                                                                                                            subject
                                                                                                                            to
                                                                                                                            change.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><SUP>3</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 8pt 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
                                                                                                                            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
                                                                                                                            on
                                                                                                                            page
                                                                                                                            12.</FONT></TD>
</TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The table below summarizes the changes in
the Fund&#146;s market price and NAV per share:</FONT></P>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 50%"></TD>
     <TD STYLE="width: 10%; text-align: center; vertical-align: bottom"></TD>
     <TD STYLE="width: 10%; text-align: center; vertical-align: bottom"></TD>
     <TD STYLE="width: 10%; text-align: center; vertical-align: bottom"></TD>
     <TD STYLE="width: 10%; text-align: center; vertical-align: bottom"></TD>
     <TD STYLE="width: 10%; text-align: center; vertical-align: bottom"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>2/29/12</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>8/31/11</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Change</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>High</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Low</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Market Price</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$13.45</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$12.65</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.32%</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$13.58</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$11.59</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Net
     Asset Value</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$13.90</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$13.17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.54%</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$13.90</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$12.93</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: 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>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Portfolio
Composition</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>2/29/12</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>8/31/11</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 56%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate Loan Interests</FONT></TD><TD STYLE="width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 13%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">87</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">%</FONT></TD><TD STYLE="width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 13%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">86</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">%</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset-Backed Securities</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Common Stocks</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Other
    Interests</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
</TABLE>
<BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Credit
Quality Allocations<SUP>4</SUP></B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>2/29/12</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>8/31/11</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 56%; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB/Baa</FONT></TD><TD STYLE="width: 8%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 13%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">%</FONT></TD><TD STYLE="width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 13%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">%</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB/Ba</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>4</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Using
                                                                                        the higher of Standard &amp; Poor&#146;s
                                                                                        (&#147;S&amp;P&#146;s&#148;) or Moody&#146;s
                                                                                        Investors Service (&#147;Moody&#146;s&#148;)
                                                                                        ratings.</FONT></TD>
</TR></TABLE>
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    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">FEBRUARY 29, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->5<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<TABLE border=0 width=100% cellspacing=0 style="font-family: 'Arial';font-size: 10pt;">
<TR>
     <TD width=51%></TD>
     <TD width=48%></TD></TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Fund
     Summary <FONT STYLE="font-size: 10pt">as of February 29, 2012</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Diversified Income Strategies Fund, Inc.</B></FONT></TD> </TR> </TABLE><BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Investment
Objective</B></FONT></P>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock Diversified Income Strategies
Fund, Inc.&#146;s (DVF) (the &#147;Fund&#148;)</B> investment objective is to provide shareholders with high current income. The
Fund seeks to achieve its investment objective by investing primarily in floating rate debt securities and instruments, including
floating rate loans, bonds, certain preferred securities (including certain convertible preferred securities), notes or other
debt securities or instruments which pay a floating or variable rate of 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 certain derivative transactions
at either the portfolio level or with respect to an individual security held by the Fund, including interest rate swap agreements,
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 market conditions, a substantial portion of its assets in below investment grade quality securities.
The Fund may invest directly in such securities or synthetically through the use of derivatives.</FONT></P>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 20pt; text-indent: 0pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">No
assurance can be given that the Fund&#146;s investment objective will be achieved.</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Portfolio
Management Commentary</B></FONT></P>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>How did the Fund perform?</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
                                                                                  the six months ended February 29, 2012, the
                                                                                  Fund returned 6.70% based on market price and
                                                                                  8.73% based on NAV. For the same period, the
                                                                                  closed-end Lipper Loan Participation Funds category
                                                                                  posted an average return of 12.07% based on
                                                                                  market price and 8.96% based on NAV. All returns
                                                                                  reflect reinvestment of dividends. The Fund's
                                                                                  discount to NAV, which widened during the period,
                                                                                  accounts for the difference between performance
                                                                                  based on price and performance based on NAV.
                                                                                  The following discussion relates to performance
                                                                                  based on NAV.</FONT></TD>
</TR></TABLE>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>What factors influenced performance?</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Security
                                                                                  selection among higher-quality loan instruments
                                                                                  had a positive impact on the Fund&#146;s performance.
                                                                                  The Fund&#146;s tactical exposure to high yield
                                                                                  bonds also contributed positively as the asset
                                                                                  class outperformed loans during the period.
                                                                                  Selection in the electric, chemicals and transportation
                                                                                  services sectors boosted returns. The Fund&#146;s
                                                                                  use of leverage was an additional contributor.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Detracting
                                                                                  from performance was security selection among
                                                                                  lower-quality loan instruments, an area of the
                                                                                  market that generally carried a less favorable
                                                                                  risk-return profile during the period. Selection
                                                                                  within the independent energy and non-cable
                                                                                  media sectors also had a negative impact on
                                                                                  returns.</FONT></TD>
</TR></TABLE>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Describe recent portfolio activity.</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
                                                                                  period began with severe market volatility in
                                                                                  reaction to headwinds from Europe&#146;s debt
                                                                                  crisis and a possible US government shut-down.
                                                                                  However, the environment shifted in December
                                                                                  when the European Central Bank announced a long-term
                                                                                  refinancing operation. This liquidity program
                                                                                  provided a much-needed short-term solution for
                                                                                  the financial markets and mitigated the risk
                                                                                  of a collapse in the European banking system.
                                                                                  Moreover, it was the catalyst for a positive
                                                                                  turn in the valuation of risk assets.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">During
                                                                                  the period, the Fund maintained its focus on
                                                                                  the higher quality portions of the loan market
                                                                                  in terms of loan structure, liquidity and overall
                                                                                  credit quality. Given the weak outlook for global
                                                                                  growth, the Fund remained cautious of lower-rated
                                                                                  less-liquid loans. The Fund sought issuers with
                                                                                  attractive risk-reward characteristics and superior
                                                                                  fundamentals. While the developments during
                                                                                  the period bode well for the posture of risk
                                                                                  markets going forward, the Fund continues to
                                                                                  maintain a high quality bias.</FONT></TD>
</TR></TABLE>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Describe portfolio positioning at period
end.</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">At
                                                                                  period end, the Fund held 83% of its total portfolio
                                                                                  in floating rate loan interests (bank loans),
                                                                                  12% in corporate bonds, with the remainder in
                                                                                  asset-backed securities, common stocks and other
                                                                                  interests. The Fund&#146;s largest sector exposures
                                                                                  included cable media, chemicals and wireless.
                                                                                  The Fund ended the period with economic leverage
                                                                                  at 23% of its total managed assets.</FONT></TD>
</TR></TABLE>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 20pt; text-indent: 0pt"><FONT STYLE="font: 8pt 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 views are not intended to be a forecast of future events and are no guarantee of future
results.</FONT></P>
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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_7"></A><BR>
<P STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
Diversified Income Strategies Fund, Inc.</B></FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Fund
Information</B></FONT></P>
<TABLE border=0 width=100% cellspacing=0 style="font-family: 'Arial';font-size: 10pt;">
<TR>
     <TD width=61%></TD>
     <TD WIDTH="33%" STYLE="text-align: center; vertical-align: bottom"></TD>
     </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Symbol on NYSE</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DVF</FONT></TD>
      </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Initial Offering
     Date</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">January
     31, 2005</FONT></TD>
      </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Yield on Closing
     Market Price as of February 29, 2012 (&#36;10.12)<SUP>1</SUP></FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.94%</FONT></TD>
      </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Current Monthly Distribution
     per Common Share<SUP>2</SUP></FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;0.0585</FONT></TD>
      </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Current Annualized
     Distribution per Common Share<SUP>2</SUP></FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;0.7020</FONT></TD>
      </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Economic
     Leverage as of February 29, 2012<SUP>3</SUP></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: #000000 1px solid; vertical-align: bottom; padding-bottom: 2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23%</FONT></TD>
      </TR> </TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><SUP>1</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 8pt 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></TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><SUP>2</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">The
                                                                                                                            distribution
                                                                                                                            rate
                                                                                                                            is
                                                                                                                            not
                                                                                                                            constant
                                                                                                                            and
                                                                                                                            is
                                                                                                                            subject
                                                                                                                            to
                                                                                                                            change.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><SUP>3</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 8pt 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
                                                                                                                            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
                                                                                                                            on
                                                                                                                            page
                                                                                                                            12.</FONT></TD>
</TR></TABLE>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The table below summarizes the changes in
the Fund&#146;s market price and NAV per share:</FONT></P>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 50%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 10%; text-align: center; vertical-align: bottom"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 10%; text-align: center; vertical-align: bottom"></TD></TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>2/29/12</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>8/31/11</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1px solid; vertical-align: bottom; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Change</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>High</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1px solid; vertical-align: bottom; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Low</B></FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Market Price</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$10.12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$&nbsp; 9.84</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.85%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$10.22</FONT></TD>
     <TD STYLE="text-align: center; text-indent: 1px; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$8.84</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Net
     Asset Value</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$10.68</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$10.19</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: #000000 1px solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.81%</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$10.68</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: #000000 1px solid; text-indent: 1px; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$9.95</FONT></TD> </TR> </TABLE><BR>
<P style="text-align: left;"><FONT STYLE="font-family: 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>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Portfolio
Composition</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2"></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>2/29/12</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>8/31/11</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 56%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate Loan Interests</FONT></TD><TD STYLE="width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 13%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">83</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">%</FONT></TD><TD STYLE="width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 13%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">%</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset-Backed Securities</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Common Stocks</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Other
    Interests</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
</TABLE>
<BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Credit
Quality Allocations<SUP>4</SUP></B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2"></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>2/29/12</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>8/31/11</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 56%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB/Baa</FONT></TD><TD STYLE="width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 13%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">%</FONT></TD><TD STYLE="width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 13%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">%</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB/Ba</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCC/Caa</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Not Rated</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><SUP>4</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Using
                                                                                                                            the
                                                                                                                            higher
                                                                                                                            of
                                                                                                                            S&amp;P&#146;s
                                                                                                                            or
                                                                                                                            Moody&#146;s
                                                                                                                            ratings.</FONT></TD>
</TR></TABLE>
<!-- Field: Page; Sequence: 8 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">FEBRUARY 29, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->7<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_8"></A><BR>
<TABLE border=0 width=100% cellspacing=0 style="font-family: 'Arial';font-size: 10pt;">
<TR>
     <TD width=50%></TD>
     <TD width=49%></TD></TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Fund
     Summary <FONT STYLE="font-size: 10pt">as of February 29, 2012</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Floating Rate Income Strategies Fund, Inc.</B></FONT></TD> </TR> </TABLE><BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Investment
Objective</B></FONT></P>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock Floating Rate Income Strategies
Fund, Inc.&#146;s (FRA) (the &#147;Fund&#148;)</B> investment objective is to provide shareholders with high current income and
such preservation of capital as is consistent with investment in a diversified, leveraged portfolio consisting primarily of floating
rate debt securities and 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 securities, including floating or variable rate debt securities that pay interest
at rates that adjust whenever a specified interest rate changes and/or which 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 debt securities consisting
of secured or unsecured senior floating rate loans that are rated below investment grade. The Fund may invest directly in such
securities or synthetically through the use of derivatives.</FONT></P>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 20pt; text-indent: 0pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">No
assurance can be given that the Fund&#146;s investment objective will be achieved.</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Portfolio
Management Commentary</B></FONT></P>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>How did the Fund perform?</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
                                                                                  the six months ended February 29, 2012, the
                                                                                  Fund returned 12.69% based on market price and
                                                                                  8.76% based on NAV. For the same period, the
                                                                                  closed-end Lipper Loan Participation Funds category
                                                                                  posted an average return of 12.07% based on
                                                                                  market price and 8.96% based on NAV. All returns
                                                                                  reflect reinvestment of dividends. The Fund's
                                                                                  discount to NAV, which narrowed during the period,
                                                                                  accounts for the difference between performance
                                                                                  based on price and performance based on NAV.
                                                                                  The following discussion relates to performance
                                                                                  based on NAV.</FONT></TD>
</TR></TABLE>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>What factors influenced performance?</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Security
                                                                                  selection among higher-quality and non-rated
                                                                                  floating rate loans and common stock had a positive
                                                                                  impact on the Fund&#146;s performance. Selection
                                                                                  in the chemicals and electric sectors also boosted
                                                                                  returns. The Fund&#146;s tactical exposure to
                                                                                  high yield bonds contributed positively as the
                                                                                  asset class outperformed loans given improving
                                                                                  investor demand for riskier assets over the
                                                                                  six-month period.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Detracting
                                                                                  from performance was security selection among
                                                                                  lower-quality loan instruments, an area of the
                                                                                  market that generally carried a less favorable
                                                                                  risk-return profile during the period. The Fund&#146;s
                                                                                  exposure to the paper sector had a negative
                                                                                  effect on returns, as did a tactical allocation
                                                                                  to asset-backed securities via collateralized
                                                                                  loan obligations.</FONT></TD>
</TR></TABLE>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Describe recent portfolio activity.</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
                                                                                  period began with severe market volatility in
                                                                                  reaction to headwinds from Europe&#146;s debt
                                                                                  crisis and a possible US government shut-down.
                                                                                  However, the environment shifted in December
                                                                                  when the European Central Bank announced a long-term
                                                                                  refinancing operation. This liquidity program
                                                                                  provided a much-needed short-term solution for
                                                                                  the financial markets and mitigated the risk
                                                                                  of a collapse in the European banking system.
                                                                                  Moreover, it was the catalyst for a positive
                                                                                  turn in the valuation of risk assets.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">During
                                                                                  the period, the Fund maintained its focus on
                                                                                  the higher quality portions of the loan market
                                                                                  in terms of loan structure, liquidity and overall
                                                                                  credit quality. Given the weak outlook for global
                                                                                  growth, the Fund remained cautious of lower-rated
                                                                                  less-liquid loans. The Fund sought issuers with
                                                                                  attractive risk-reward characteristics and superior
                                                                                  fundamentals. While the developments during
                                                                                  the period bode well for the posture of risk
                                                                                  markets going forward, the Fund continues to
                                                                                  maintain a high quality bias.</FONT></TD>
</TR></TABLE>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Describe portfolio positioning at period
end.</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">At
                                                                                  period end, the Fund held 83% of its total portfolio
                                                                                  in floating rate loan interests (bank loans),
                                                                                  13% in corporate bonds, with the remainder in
                                                                                  asset-backed securities and common stocks. The
                                                                                  Fund&#146;s largest sector exposures included
                                                                                  wireless, non-captive diversified financials
                                                                                  and chemicals. The Fund ended the period with
                                                                                  economic leverage at 22% of its total managed
                                                                                  assets.</FONT></TD>
</TR></TABLE>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 20pt; text-indent: 0pt"><FONT STYLE="font: 8pt 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 views are not intended to be a forecast of future events and are no guarantee of future
results.</FONT></P>
<!-- Field: Page; Sequence: 9; Value: 2 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->8<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">FEBRUARY 29, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_9"></A><BR>
<P STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
Floating Rate Income Strategies Fund, Inc.</B></FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Fund
Information</B></FONT></P>
<TABLE border=0 width=100% cellspacing=0 style="font-family: 'Arial';font-size: 10pt;">
<TR>
     <TD width=64%></TD>
     <TD WIDTH="35%" STYLE="text-align: center; vertical-align: bottom"></TD></TR>
<TR valign="bottom">
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Symbol on NYSE</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRA</FONT></TD> </TR>
<TR valign="bottom">
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Initial Offering Date</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">October 31,
     2003</FONT></TD> </TR>
<TR valign="bottom">
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Yield on Closing Market Price as of February 29, 2012
     (&#36;14.52)<SUP>1</SUP></FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.36%</FONT></TD> </TR>
<TR valign="bottom">
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Current Monthly Distribution per Common Share<SUP>2</SUP></FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;0.077</FONT></TD> </TR>
<TR valign="bottom">
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Current Annualized Distribution per Common Share<SUP>2</SUP></FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;0.924</FONT></TD> </TR>
<TR valign="bottom">
     <TD align=left style="border-bottom:1px solid #000000;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Economic
     Leverage as of February 29, 2012<SUP>3</SUP></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: #000000 1px solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22%</FONT></TD> </TR> </TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><SUP>1</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 8pt 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></TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><SUP>2</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">The
                                                                                                                            distribution
                                                                                                                            rate
                                                                                                                            is
                                                                                                                            not
                                                                                                                            constant
                                                                                                                            and
                                                                                                                            is
                                                                                                                            subject
                                                                                                                            to
                                                                                                                            change.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><SUP>3</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 8pt 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
                                                                                                                            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
                                                                                                                            on
                                                                                                                            page
                                                                                                                            12.</FONT></TD>
</TR></TABLE>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The table below summarizes the changes in
the Fund&#146;s market price and NAV per share:</FONT></P>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 50%"></TD>
     <TD STYLE="width: 10%; text-align: center; vertical-align: bottom"></TD>
     <TD STYLE="width: 10%; text-align: center; vertical-align: bottom"></TD>
     <TD STYLE="width: 10%; text-align: center; vertical-align: bottom"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 10%"></TD></TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1px solid; vertical-align: bottom; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>2/29/12</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1px solid; vertical-align: bottom; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>8/31/11</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1px solid; vertical-align: bottom; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Change</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>High</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Low</B></FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Market Price</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;14.52</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;13.33</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.93%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;14.60</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;12.33</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Net
     Asset Value</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: #000000 1px solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;14.76</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: #000000 1px solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;14.04</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: #000000 1px solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.13%</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;14.76</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;13.74</FONT></TD> </TR> </TABLE><BR>
<P style="text-align: left;"><FONT STYLE="font-family: 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>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Portfolio
Composition</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>2/29/12</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>8/31/11</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 56%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate Loan Interests</FONT></TD><TD STYLE="width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 13%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">83</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">%</FONT></TD><TD STYLE="width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 13%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">81</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">%</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset-Backed Securities</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Common Stocks</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Other
    Interests</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
</TABLE>
<BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Credit
Quality Allocations<SUP>4</SUP></B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>2/29/12</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>8/31/11</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 56%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB/Baa</FONT></TD><TD STYLE="width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 13%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">%</FONT></TD><TD STYLE="width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 13%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">%</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB/Ba</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCC/Caa</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Not Rated</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
</TABLE>
<BR>
<P style="text-align: left;"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><SUP>4 </SUP>Using the higher of S&amp;P&#146;s
or Moody&#146;s ratings.</FONT></P>
<!-- Field: Page; Sequence: 10 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">FEBRUARY 29, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->9<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_10"></A><BR>
<TABLE border=0 width=100% cellspacing=0 style="font-family: 'Arial';font-size: 10pt;">
<TR>
     <TD width=54%></TD>
     <TD width=45%></TD></TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Fund
     Summary <FONT STYLE="font-size: 10pt">as of February 29, 2012</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Limited Duration Income Trust</B></FONT></TD> </TR> </TABLE><BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Investment
Objective</B></FONT></P>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock Limited Duration Income Trust&#146;s
(BLW) (the &#147;Fund&#148;)</B> investment objective is to provide current income and capital appreciation. The Fund seeks to
achieve its investment objective by investing primarily in three distinct asset classes:</FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">intermediate
                                                                                  duration, investment grade corporate bonds,
                                                                                  mortgage-related securities and asset-backed
                                                                                  securities and US Government and agency securities;</FONT></TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">senior,
                                                                                  secured floating rate loans made to corporate
                                                                                  and other business entities; and</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
                                                                                  dollar-denominated securities of US and non-US
                                                                                  issuers rated below investment grade, and to
                                                                                  a limited extent, non-US dollar denominated
                                                                                  securities of non-US issuers rated below investment
                                                                                  grade.</FONT></TD>
</TR></TABLE>
<P style="text-align: left;"><FONT STYLE="font-family: 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 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></P>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 20pt; text-indent: 0pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">No
assurance can be given that the Fund&#146;s investment objective will be achieved.</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Portfolio
Management Commentary</B></FONT></P>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>How did the Fund perform?</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
                                                                                  the six months ended February 29, 2012, the
                                                                                  Fund returned 10.48% based on market price and
                                                                                  8.20% based on NAV. For the same period, the
                                                                                  closed-end Lipper High Current Yield Funds (Leveraged)
                                                                                  category posted an average return of 13.38%
                                                                                  based on market price and 10.05% based on NAV.
                                                                                  All returns reflect reinvestment of dividends.
                                                                                  The Fund's discount to NAV, which narrowed during
                                                                                  the period, accounts for the difference between
                                                                                  performance based on price and performance based
                                                                                  on NAV. The following discussion relates to
                                                                                  performance based on NAV.</FONT></TD>
</TR></TABLE>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>What factors influenced performance?</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Security
                                                                                  selection among higher-quality credit instruments
                                                                                  had a positive impact on the Fund&#146;s performance.
                                                                                  Selection in the consumer services and electric
                                                                                  sectors also boosted returns. The Fund&#146;s
                                                                                  tactical exposure to equity securities was rewarding
                                                                                  as equities outperformed high yield debt amid
                                                                                  improving investor demand for riskier assets
                                                                                  over the six-month period.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
                                                                                  Fund differs from its Lipper category competitors,
                                                                                  which invest primarily in high yield bonds,
                                                                                  in that the Fund also invests in floating rate
                                                                                  loan interests (bank loans), investment grade
                                                                                  credits and securitized assets. While the Fund&#146;s
                                                                                  allocations to these other asset classes did
                                                                                  not detract from performance on an absolute
                                                                                  basis, they underperformed high yield bonds
                                                                                  for the period. Security selection in the non-cable
                                                                                  media and paper sectors pared the Fund&#146;s
                                                                                  gains for the period.</FONT></TD>
</TR></TABLE>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Describe recent portfolio activity.</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">In
                                                                                  the early part of the period, as the outlook
                                                                                  for global growth worsened and the potential
                                                                                  for further spreading of the ongoing debt crisis
                                                                                  in Europe increased, the Fund shifted its positioning
                                                                                  to a more conservative posture. Specifically,
                                                                                  the Fund reduced positions in the more cyclical
                                                                                  credits and increased exposure to market sectors
                                                                                  with more stable cash flows.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">However,
                                                                                  the environment shifted in December when the
                                                                                  European Central Bank announced a long-term
                                                                                  refinancing operation. This liquidity program
                                                                                  provided a much-needed short-term solution for
                                                                                  the financial markets and mitigated the risk
                                                                                  of a collapse in the European banking system.
                                                                                  Moreover, it was the catalyst for a positive
                                                                                  turn in the valuation of risk assets. Given
                                                                                  these developments, the Fund maintained its
                                                                                  higher-quality income-oriented bias, but started
                                                                                  selectively adding back some risk in names with
                                                                                  appealing risk-reward characteristics. Despite
                                                                                  this modest shift to &#147;risk-on,&#148; the
                                                                                  Fund continued to seek issuers with superior
                                                                                  fundamentals while avoiding higher-beta credits
                                                                                  (i.e., those with higher sensitivity to market
                                                                                  volatility) and the more economically sensitive
                                                                                  areas of the market.</FONT></TD>
</TR></TABLE>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Describe portfolio positioning at period
end.</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">At
                                                                                  period end, the Fund held 45% of its total portfolio
                                                                                  in corporate bonds, 31% in floating rate loan
                                                                                  interests (bank loans), 11% in non-agency mortgage-backed
                                                                                  securities, with the remainder in US Government
                                                                                  sponsored agency securities, asset-backed securities,
                                                                                  common stocks and taxable municipal bonds. The
                                                                                  Fund&#146;s largest sector exposures included
                                                                                  cable media, independent energy and chemicals.
                                                                                  The Fund ended the period with economic leverage
                                                                                  at 27% of its total managed assets.</FONT></TD>
</TR></TABLE>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 20pt; text-indent: 0pt"><FONT STYLE="font: 8pt 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 views are not intended to be a forecast of future events and are no guarantee of future
results.</FONT></P>
<!-- Field: Page; Sequence: 11; Value: 2 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->10<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">FEBRUARY 29, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_11"></A><BR>
<P STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
Limited Duration Income Trust</B></FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Fund
Information</B></FONT></P>
<TABLE border=0 width=100% cellspacing=0 style="font-family: 'Arial';font-size: 10pt;">
<TR>
     <TD width=66%></TD>
     <TD WIDTH="33%" STYLE="text-align: center; vertical-align: bottom"></TD></TR>
<TR valign="bottom">
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Symbol on NYSE</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BLW</FONT></TD> </TR>
<TR valign="bottom">
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Initial Offering Date</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">July 30, 2003</FONT></TD> </TR>
<TR valign="bottom">
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Yield on Closing Market Price as of February 29, 2012
     (&#36;16.96)<SUP>1</SUP></FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.43%</FONT></TD> </TR>
<TR valign="bottom">
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Current Monthly Distribution per Common Share<SUP>2</SUP></FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;0.105</FONT></TD> </TR>
<TR valign="bottom">
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Current Annualized Distribution per Common Share<SUP>2</SUP></FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;1.260</FONT></TD> </TR>
<TR valign="bottom">
     <TD align=left style="border-bottom:1px solid #000000;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Economic
     Leverage as of February 29, 2012<SUP>3</SUP></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: #000000 1px solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27%</FONT></TD> </TR> </TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><SUP>1</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 8pt 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></TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><SUP>2</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">The
                                                                                                                            distribution
                                                                                                                            rate
                                                                                                                            is
                                                                                                                            not
                                                                                                                            constant
                                                                                                                            and
                                                                                                                            is
                                                                                                                            subject
                                                                                                                            to
                                                                                                                            change.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><SUP>3</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Represents
                                                                                                                            reverse
                                                                                                                            repurchase
                                                                                                                            agreements
                                                                                                                            outstanding
                                                                                                                            as
                                                                                                                            a
                                                                                                                            percentage
                                                                                                                            of
                                                                                                                            total
                                                                                                                            managed
                                                                                                                            assets,
                                                                                                                            which
                                                                                                                            is
                                                                                                                            the
                                                                                                                            total
                                                                                                                            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
                                                                                                                            techniques
                                                                                                                            utilized
                                                                                                                            by
                                                                                                                            the
                                                                                                                            Fund,
                                                                                                                            please
                                                                                                                            see
                                                                                                                            The
                                                                                                                            Benefits
                                                                                                                            and
                                                                                                                            Risks
                                                                                                                            of
                                                                                                                            Leveraging
                                                                                                                            on
                                                                                                                            page
                                                                                                                            12.</FONT></TD>
</TR></TABLE>
<P style="text-align: left;"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The table below summarizes the changes in
the Fund&#146;s market price and NAV per share:</FONT></P>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 50%"></TD>
     <TD STYLE="width: 10%; text-align: center; vertical-align: bottom"></TD>
     <TD STYLE="width: 10%; text-align: center; vertical-align: bottom"></TD>
     <TD STYLE="width: 10%; text-align: center; vertical-align: bottom"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 10%"></TD></TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1px solid; vertical-align: bottom; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>2/29/12</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1px solid; vertical-align: bottom; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>8/31/11</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1px solid; vertical-align: bottom; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Change</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>High</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Low</B></FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Market Price</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;16.96</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;16.01</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.93%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;17.33</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;15.00</FONT></TD> </TR>
<TR valign="bottom">
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Net
     Asset Value</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: #000000 1px solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;17.14</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: #000000 1px solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;16.52</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: #000000 1px solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.75%</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;17.14</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#36;15.92</FONT></TD> </TR> </TABLE><BR>
<P style="text-align: left;"><FONT STYLE="font-family: 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 US government securities
investments:</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Portfolio
Composition</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2"></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>2/29/12</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>8/31/11</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 56%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds</FONT></TD><TD STYLE="width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 13%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">%</FONT></TD><TD STYLE="width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 13%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">%</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate Loan Interests</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-Agency Mortgage-Backed Securities</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US Government Sponsored Agency Securities</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset-Backed Securities</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Common Stocks</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Taxable Municipal Bonds</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Other
    Interests</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
</TABLE>
<BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Credit
Quality Allocations<SUP>4</SUP></B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2"></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>2/29/12</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>8/31/11</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 56%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AAA/Aaa<SUP>5</SUP></FONT></TD><TD STYLE="width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 13%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">%</FONT></TD><TD STYLE="width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 13%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">%</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AA/Aa</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">A</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB/Baa</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB/Ba</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCC/Caa</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">D</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Not Rated</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><SUP>4</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Using
                                                                                                                            the
                                                                                                                            higher
                                                                                                                            of
                                                                                                                            S&amp;P&#146;s
                                                                                                                            or
                                                                                                                            Moody&#146;s
                                                                                                                            ratings.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><SUP>5</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Includes
                                                                                                                            US
                                                                                                                            Government
                                                                                                                            Sponsored
                                                                                                                            Agency
                                                                                                                            securities
                                                                                                                            and
                                                                                                                            US
                                                                                                                            Treasury
                                                                                                                            Obligations,
                                                                                                                            which
                                                                                                                            were
                                                                                                                            deemed
                                                                                                                            AAA/Aaa
                                                                                                                            by
                                                                                                                            the
                                                                                                                            investment
                                                                                                                            advisor.</FONT></TD>
</TR></TABLE>
<!-- Field: Page; Sequence: 12 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">FEBRUARY 29, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->11<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_12"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><A NAME="zza_003"></A>The
Benefits and Risks of Leveraging</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Funds may utilize leverage to seek to
enhance the yield and NAV of their common shares (&#147;Common Shares&#148;). However, these objectives cannot be achieved in
all interest rate environments.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Funds may utilize leverage by borrowing
through a credit facility or through entering into reverse repurchase agreements. In general, the concept of leveraging is based
on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates,
will normally be lower than the income earned by each Fund on its longer-term portfolio investments. To the extent that the total
assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each
Fund&#146;s shareholders will benefit from the incremental net income.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The interest earned on securities purchased
with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is
reflected in the per share NAV. However, in order to benefit shareholders, the yield curve must be positively sloped; that is,
short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term
interest rates exceed long-term interest rates, income to shareholders will be lower than if the Funds had not used leverage.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">To illustrate these concepts, assume a Fund&#146;s
capitalization is $100 million and it borrows for an additional $30 million, creating a total value of $130 million available
for investment in long-term securities. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the
yield curve has a strongly positive slope. In this case, the Fund pays borrowing costs and interest expense on the $30 million
of borrowings based on the lower short-term interest rates. At the same time, the securities purchased by the Fund with assets
received from the borrowings earn income based on long-term interest rates. In this case, the borrowing costs and interest expense
of the borrowings is significantly lower than the income earned on the Fund&#146;s long-term investments, and therefore the Fund&#146;s
shareholders are the beneficiaries of the incremental net income.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">If short-term interest rates rise, narrowing
the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated
completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative
slope. In this case, the Fund pays higher short-term interest rates whereas the Fund&#146;s total portfolio earns income based
on lower long-term interest rates.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Furthermore, the value of the Funds&#146;
portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence
the value of portfolio investments. In contrast, the redemption value of the Funds&#146; borrowings does not fluctuate in relation
to interest rates. As a result, changes in interest rates can influence the Funds&#146; NAVs positively or negatively in addition
to the impact on Fund performance from leverage from borrowings discussed above.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The use of leverage may enhance opportunities
for increased income to the Funds, but as described above, it also creates risks as short- or long-term interest rates fluctuate.
Leverage also will generally cause greater changes in the Funds&#146; NAVs, market prices and dividend rates than comparable portfolios
without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage,
the Funds&#146; net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased
is not sufficient to cover the cost of leverage, each Fund&#146;s net income will be less than if leverage had not been used,
and therefore the amount available for distribution to shareholders will be reduced. Each Fund may be required to sell portfolio
securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use
of leverage or as required by the terms of leverage instruments, which may cause a Fund to incur losses. The use of leverage may
limit each Fund&#146;s ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund
will incur expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Under the Investment Company Act of 1940,
as amended (the &#147;1940 Act&#148;), the Funds are permitted to issue senior securities representing indebtedness up to 33 1/3%
of their total managed assets (each Fund&#146;s net assets plus the proceeds of any outstanding borrowings). If the Funds segregate
liquid assets having a value not less than the repurchase price (including accrued interest), a reverse repurchase agreement will
not be considered a senior security and therefore will not be subject to this limitation. In addition, each Fund voluntarily limits
its aggregate economic leverage to 50% of its managed assets. As of February 29, 2012, the Funds had aggregate economic leverage
from any reverse repurchase agreements and borrowings through a credit facility as a percentage of their total managed assets
as follows:</FONT></P>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; width: 46%; text-align: center; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="width: 53%; text-align: right; border-bottom: Black 1pt solid; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Percent
     of<BR>
     Economic<BR>
     Leverage</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BHL</FONT></TD>
     <TD align=right><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DVF</FONT></TD>
     <TD align=right><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRA</FONT></TD>
     <TD align=right><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BLW</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27%</FONT></TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><A NAME="zza_005"></A><A NAME="zza_004"></A>Derivative
Financial Instruments</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Funds may invest in various derivative
financial instruments, including financial futures contracts, foreign currency exchange contracts, options and swaps as specified
in Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments
are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, equity, credit,
interest rate and/or foreign currency exchange rate risks. Derivative financial instruments involve risks, including the imperfect
correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty
to the transaction or illiquidity of the derivative financial instrument. The Funds&#146; ability to use a derivative financial
instrument successfully depends on the investment advisor&#146;s ability to predict pertinent market movements accurately, which
cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may
require a Fund to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of
appreciation a Fund can realize on an investment, may result in lower dividends paid to shareholders or may cause a Fund to hold
an investment that it might otherwise sell. The Funds&#146; investments in these instruments are discussed in detail in the Notes
to Financial Statements.</FONT></P>

<P STYLE="text-align: left"></P>

<!-- Field: Page; Sequence: 13; Value: 2 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->12<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">FEBRUARY 29, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD STYLE="width: 58%"></TD>
     <TD STYLE="width: 41%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><A NAME="zza_006"></A>Schedule
     of Investments <FONT STYLE="font-size: 10pt">February 29, 2012 (Unaudited)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Defined Opportunity Credit Trust (BHL)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Asset-Backed
     Securities</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ARES CLO Funds, Series 2005-10A, Class
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left; width: 62%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.95%,
     9/18/17 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left; width: 7%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6; width: 11%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">250</FONT></TD>
     <TD STYLE="text-align: left; width: 9%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">231,345</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canaras Summit CLO Ltd., Series 2007-1A,
     Class B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.04%, 6/19/21 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">345</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">293,350</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Flagship CLO, Series 2006-1A, Class
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.91%, 9/20/19 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">772,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fraser Sullivan CLO Ltd., Series 2006-2A,
     Class B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.96%, 12/20/20 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">425,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gannett Peak CLO Ltd., Series 2006-1X,
     Class A2,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.92%, 10/27/20 (b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">265</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">213,988</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goldman Sachs Asset Management CLO Plc,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-1A, Class
     B, 1.00%, 8/01/22 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">580</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">464,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Landmark CDO Ltd., Series 2006-8A, Class
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.92%, 10/19/20 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">495</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">414,404</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MAPS CLO Fund LLC, Series 2005-1A, Class
     C,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.52%, 12/21/17 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">260</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">234,260</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Portola CLO Ltd., Series 2007-1X, Class
     B1,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.95%, 11/15/21 (b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">350</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">T2 Income Fund CLO Ltd., Series 2007-1A,
     Class B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.17%,
     7/15/19 (a)(b)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">260,175</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Asset-Backed Securities &#151; 2.9%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,609,147</FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Common
     Stocks (c)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Auto Components &#151;
     0.8%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delphi Automotive Plc (180-day lock)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(acquired
     11/17/11, cost $176,777) (d)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,737</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">958,994</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Hotels, Restaurants
     &amp; Leisure &#151; 0.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BLB
     Worldwide Holdings, Inc.</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,020</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">196,180</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Software &#151; 0.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HMH
     Holdings/EduMedia</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,267</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,317</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Common Stocks &#151; 0.9%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,168,491</FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Airlines &#151; 0.2%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American Airlines Pass-Through Trust,
     Series 2011-2,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Class A, 8.63%, 4/15/23</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">129</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">136,740</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delta Air Lines, Inc., Series 2009-1-B,
     Class B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.75%, 6/17/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,663</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">195,403</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Auto Components &#151;
     0.9%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Icahn Enterprises LP:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.75%, 1/15/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">785</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">822,287</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.00%, 1/15/18 (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">340</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">360,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,182,687</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Chemicals &#151;
     0.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CF Industries, Inc., 6.88%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">415</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">488,662</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ineos Finance Plc, 8.38%, 2/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">116,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lyondell Chemical Co., 11.00%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">142,256</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">LyondellBasell Industries NV, 6.00%,
     11/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,388</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">797,181</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Commercial Banks
     &#151; 0.2%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CIT Group, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%,
     5/02/16 (a)</FONT></TD>
     <TD STYLE="text-align: left; width: 7%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6; width: 11%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">180</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;180,225</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 5/02/17 (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130,163</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">310,388</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Commercial Services
     &amp; Supplies &#151; 0.3%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ARAMARK Corp., 4.05%, 2/01/15 (b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,756</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AWAS Aviation Capital Ltd., 7.00%, 10/17/16
     (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">340</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">355,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">419,956</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Consumer Finance
     &#151; 0.3%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Inmarsat
     Finance Plc, 7.38%, 12/01/17 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">325</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">347,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Containers &amp;
     Packaging &#151; 0.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Graphic
     Packaging International, Inc., 9.50%, 6/15/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">111,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Financial
     Services &#151; 1.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ally Financial, Inc., 2.73%, 12/01/14
     (b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,025</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">959,330</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FCE Bank Plc, 7.13%, 1/15/13</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">69,113</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reynolds Group Issuer, Inc. (a):</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.13%, 4/15/19</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">126,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.88%, 2/15/21</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">196,100</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,351,443</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Telecommunication
     Services &#151; 0.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ITC
     Deltacom, Inc., 10.50%, 4/01/16</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">140</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145,950</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Providers
     &amp; Services &#151; 0.5%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HCA, Inc., 6.50%, 2/15/20</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">400</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">429,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tenet Healthcare Corp., 6.25%, 11/01/18
     (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">197,256</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">626,256</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Technology
     &#151; 0.8%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IMS
     Health, Inc., 12.50%, 3/01/18 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">850</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,011,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Hotels, Restaurants
     &amp; Leisure &#151; 0.5%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MGM Resorts International:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.38%, 5/15/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">175</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">199,062</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11.13%, 11/15/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">390</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">443,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">642,687</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Household Durables
     &#151; 0.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Beazer
     Homes USA, Inc., 12.00%, 10/15/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">715</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">779,350</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Independent Power
     Producers &amp; Energy Traders &#151; 2.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Calpine Corp., 7.25%, 10/15/17 (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">545</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">577,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energy Future Holdings Corp., 10.00%,
     1/15/20</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">370</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">400,062</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energy Future Intermediate Holding Co.
     LLC,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.00%, 12/01/20</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,355</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,471,869</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,449,631</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Machinery &#151;
     0.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UR
     Financing Escrow Corp., 5.75%, 7/15/18 (a)(e)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">82,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Media &#151; 1.9%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AMC Networks, Inc., 7.75%, 7/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">117,075</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCH II LLC, 13.50%, 11/30/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">575,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Clear Channel Worldwide Holdings, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.25%, 12/15/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">202,575</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series B, 9.25%,
     12/15/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">850</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">935,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unitymedia Hessen GmbH &amp; Co. KG,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.13%, 12/01/17 (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">542,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,372,150</FONT></TD></TR></TABLE><BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Portfolio
Abbreviations</B></FONT></P>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD STYLE="width: 45%"></TD>
     <TD STYLE="width: 11%"></TD>
     <TD STYLE="width: 14%"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="width: 20%"></TD></TR>
<TR vAlign=bottom>
     <TD ROWSPAN="3" STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">To simplify the listings of
     portfolio holdings in the<BR>
     Schedules of Investments, the names and descriptions of<BR>
     many of the securities have been abbreviated according<BR>
     to the following list:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>CAD</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Canadian Dollar</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>GO</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">General Obligation Bonds</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>EUR</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Euro</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>USD</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">US Dollar</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>GBP</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">British Pound</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
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<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="53%"></TD>
     <TD width="46%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Schedule
     of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Defined Opportunity Credit Trust (BHL)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Oil, Gas &amp; Consumable
     Fuels &#151; 0.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Coffeyville
     Resources LLC, 9.00%, 4/01/15 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; width: 7%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; width: 11%; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">126</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: #000000 1px solid; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">134,820</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Paper &amp; Forest
     Products &#151; 0.3%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Longview Fibre Paper &amp; Packaging,
     Inc.,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.00%, 6/01/16 (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">155</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">159,263</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Verso Paper Holdings LLC, 11.50%, 7/01/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">180</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">183,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">342,863</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Pharmaceuticals &#151;
     0.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valeant Pharmaceuticals International,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%,
     7/15/16 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">188,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Real Estate Management
     &amp; Development &#151; 0.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Realogy
     Corp., 7.63%, 1/15/20 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">165</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170,363</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Wireless Telecommunication
     Services &#151; 1.7%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cricket Communications, Inc., 7.75%,
     5/15/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,125</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,198,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sprint Nextel Corp. (a):</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.00%, 11/15/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">290</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">323,350</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 3/01/20</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">550</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">558,937</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,080,412</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Corporate Bonds &#151; 12.5%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,742,940</FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Aerospace &amp; Defense
     &#151; 1.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DynCorp International, Term Loan B,
     6.25%, 7/07/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">326</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">324,524</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SI Organization, Inc., New Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.50%, 11/22/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">419</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">401,072</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TransDigm, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Add on Term Loan
     B2, 4.00%, 2/14/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">180</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">180,149</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan (First
     Lien), 4.00%, 2/14/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">842</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">840,759</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wesco Aircraft Hardware Corp., Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.25%, 4/07/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">294</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">293,325</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,039,829</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Airlines &#151; 0.8%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delta Air Lines, Inc., Credit New Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.50%,
     4/20/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,067</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,041,761</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Auto Components &#151;
     2.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Allison Transmission, Inc., Term Loan
     B, 2.75%, 8/07/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,419</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,402,833</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Autoparts Holdings Ltd., First Lien
     Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%, 7/28/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">648</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">649,996</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Federal-Mogul Corp.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 2.19%
     &#150; 2.20%, 12/29/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">275</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">262,844</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 2.19%
     &#150; 2.20%, 12/28/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">140</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">134,104</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Schaeffler AG, Term Loan C2, 6.00%,
     1/27/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">480</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">481,402</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UCI International, Inc., Term Loan,
     5.50%, 7/26/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">347</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">347,366</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,278,545</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Biotechnology &#151;
     0.7%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Grifols
     SA, Term Loan B, 4.50%, 6/1/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">868</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">866,443</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Building Products
     &#151; 3.2%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Armstrong World Industries, Inc., Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 3/19/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">447</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">444,812</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CPG International, Inc., Term Loan B,
     6.00%, 2/18/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">792</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">748,440</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goodman Global, Inc., Initial Term Loan
     (First Lien),</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.75%, 10/28/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,094</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,104,553</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Momentive Performance Materials, Inc.
     (Blitz 06-103</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GmbH), Tranche B-2B
     Term Loan, 4.08%, 5/05/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">563</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">710,195</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,008,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Capital Markets &#151;
     1.8%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American Capital Ltd., Term Loan B,
     7.50%, 12/31/13</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">61</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">61,446</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HarbourVest Partners, Term Loan (First
     Lien),</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%, 12/16/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">838</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">838,853</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Capital Markets (concluded)</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nuveen Investments, Inc., Incremental
     Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.25%,
     5/13/17</FONT></TD>
     <TD STYLE="text-align: left; width: 7%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">160</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">161,120</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nuveen Investments, Inc. (First Lien):</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.30% &#150; 3.58%,
     11/13/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">391</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">388,468</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.74% &#150; 5.83%,
     5/12/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">782</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">780,021</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,229,908</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Chemicals &#151;
     5.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American Rock Salt Holdings LLC, Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.50%, 4/25/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">610</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">567,273</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ashland, Inc., Term Loan B, 3.75%, 8/23/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">429</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">430,341</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chemtura Corp., Exit Term Loan B, 5.50%,
     8/27/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">750</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">752,347</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gentek, Inc., Term Loan B, 5.00% &#150;
     5.75%, 10/06/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">491</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">488,055</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MDI Holdings LLC, Term Loan B, 2.24%,
     4/11/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">446</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">443,147</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nexeo Solutions LLC, Term Loan B, 5.00%,
     9/08/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">571</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">561,888</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Polyone Corp., Term Loan, 5.00%, 12/20/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185,278</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PQ Corp., Original Term Loan (First
     Lien),</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.50%, 7/30/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">706</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">688,474</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Styron Sarl LLC, Term Loan B, 6.00%
     &#150; 6.75%, 8/02/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">506</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">456,469</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tronox Worldwide LLC:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delayed Draw Term
     Loan, 1.00%, 2/09/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">176</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">175,517</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 4.25%,
     2/08/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">644</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">643,564</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Univar, Inc., Term Loan B, 5.00%, 6/30/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">934</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">926,108</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,318,461</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Commercial Services
     &amp; Supplies &#151; 3.9%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Altegrity, Inc., Tranche D Term Loan,
     7.75%, 2/20/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">697</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">696,257</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ARAMARK Corp.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Letter of Credit,
     3.55%, 7/26/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,012</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 3.83%,
     7/26/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">327</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">323,984</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AWAS Finance Luxembourg Sarl, Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 6/10/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">370</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">368,427</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delos Aircraft, Inc., Term Loan B2,
     7.00%, 3/17/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">825</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">825,883</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">International Lease Finance Corp., Term
     Loan B1,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.75%, 3/17/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,058</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">KAR Auction Services, Inc., Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00%, 5/19/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,194</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,192,508</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Synagro Technologies, Inc., Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.25% &#150; 2.26%,
     4/02/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">866</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">774,796</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Volume Services America, Inc., Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.50% &#150; 10.75%,
     9/16/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">494</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">495,809</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">West Corp., Term Loan B4, 4.49% &#150;
     4.50%, 7/15/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">197</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">196,891</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,932,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Communications Equipment
     &#151; 1.3%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Avaya, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B1, 3.24%,
     10/26/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">513</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">501,799</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B3, 4.99%,
     10/26/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">315</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">305,478</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CommScope, Inc., Term Loan B, 5.00%,
     1/14/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">818</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">817,813</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,625,090</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Construction &amp;
     Engineering &#151; 0.9%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BakerCorp. International, Inc., Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00%, 6/01/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">363</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">362,692</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Safway Services, LLC, First Out Tranche
     Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.00%, 12/16/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">750</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">750,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,112,692</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Consumer Finance
     &#151; 1.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Springleaf
     Finance Corp, Term Loan, 5.50%, 5/10/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,135</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,946,287</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Containers &amp;
     Packaging &#151; 1.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Berry Plastics Holding Corp., Term Loan
     C,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.25%, 4/03/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">486,620</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sealed Air Corp., Term Loan B, 4.75%,
     10/03/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">719</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">725,996</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,212,616</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 2; Value: 13 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->14<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">FEBRUARY 29, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_3"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="53%"></TD>
     <TD width="46%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Schedule
     of Investments <FONT STYLE="font-size: 14
pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Defined Opportunity Credit Trust (BHL)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Consumer
     Services &#151; 3.3%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Coinmach Corp., Delayed Draw Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.41%,
     11/20/14</FONT></TD>
     <TD STYLE="text-align: center; width: 7%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">243</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">223,902</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Coinmach Service Corp., Term Loan, 3.41%,
     11/20/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,021</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">940,249</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Laureate Education, Inc., Extended Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 8/15/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,955</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,866,229</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ServiceMaster Co.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delayed Draw Term
     Loan, 2.75%, 7/24/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">108</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">106,332</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 2.77%
     &#150; 3.03%, 7/24/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,081</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,067,749</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,204,461</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Financial
     Services &#151; 1.9%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reynolds Group Holdings, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B Term Loan,
     6.50%, 2/09/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,217</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,228,416</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche C Term Loan,
     5.25% &#150; 6.50%, 8/09/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,184</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,196,493</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,424,909</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Telecommunication
     Services &#151; 4.4%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hawaiian Telcom Communications, Inc.,
     Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 2/25/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">530</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">528,675</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Integra Telecom Holdings, Inc., Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.25%, 4/15/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">813</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">715,110</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 3 Financing, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B2, 5.75%,
     9/03/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,800</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,812,384</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B3, 5.75%,
     8/31/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">550</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">553,784</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche A Term Loan,
     2.50% &#150; 2.83%, 3/13/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,200</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,180,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US Telepacific Corp., Term Loan B, 5.75%,
     2/23/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">745</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">705,845</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,495,998</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Electronic Equipment,
     Instruments &amp; Components &#151; 1.2%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CDW LLC (FKA CDW Corp.), Extended Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 7/14/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">816</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">797,620</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sensata Technologies Finance Co. LLC,
     Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 5/11/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">700</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">698,787</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,496,407</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Energy Equipment
     &amp; Services &#151; 3.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCS Corp.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term
     Loan, 6.50%, 10/17/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">350</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">350,350</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 3.24%,
     11/14/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">746</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">721,878</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dynegy Midwest Generation LLC, Coal
     Co. Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.25%, 8/04/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">517</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">513,801</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dynegy Power LLC, Gas Co. Term Loan,
     9.25%, 8/04/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">581</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">598,832</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MEG Energy Corp., Term Loan B, 4.00%,
     3/16/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,546</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,542,956</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,727,817</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Food &amp; Staples
     Retailing &#151; 2.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AB Acquisitions UK Topco 2 Ltd., Facility
     B1,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.60%, 7/09/15</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">900</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,307,801</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B&amp;G Foods, Inc., Term Loan B, 4.50%,
     11/30/18</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">175</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">175,394</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bolthouse Farms, Inc., Term Loan (First
     Lien),</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.50% &#150; 5.75%,
     2/11/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">215</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">215,615</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S. Foodservice, Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.74% &#150; 2.75%,
     7/03/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">789</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">760,976</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,459,786</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Food Products &#151;
     3.2%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Advance Pierre Foods, Term Loan (Second
     Lien):</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 9/30/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">948</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">948,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11.25%, 9/29/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">550</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">550,456</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Del Monte Corp., Term Loan, 4.50%, 3/08/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,170</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,147,571</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Michaels Foods Group, Inc., Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.25%, 2/23/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">126</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">126,084</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pinnacle Foods Finance LLC:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B Term Loan,
     2.76% &#150; 3.08%, 4/02/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,569</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche D Term Loan,
     6.00% &#150; 6.50%, 4/02/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">452</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">454,616</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Solvest Ltd. (Dole):</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B-2 Term
     Loan, 5.00% &#150; 6.00%, 7/06/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">280</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">281,275</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche C-2 Term
     Loan, 5.00% &#150; 6.00%, 7/06/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">521</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">522,367</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,069,938</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD COLSPAN="2"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Equipment
     &amp; Supplies &#151; 1.8%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 66%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Biomet, Inc., Term Loan B, 3.24% &#150; 3.57%, 3/25/15 </FONT></TD>
     <TD STYLE="text-align: center; width: 7%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">313</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">309,873</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DJO Finance LLC, Term Loan, 3.24%, 5/20/14</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">465</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">458,692</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hupah Finance, Inc., Term Loan B, 6.25%,
     1/21/19</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">355</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">354,780</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Iasis Healthcare LLC, Term Loan, 5.00%,
     5/03/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">349</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">347,188</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Immucor, Inc., Term Loan B, 7.25%, 8/17/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">823</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">828,492</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,299,025</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Providers
     &amp; Services &#151; 4.6%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CHS/Community Health Systems, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-Extended Delayed
     Draw Term Loan,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.25%, 7/25/14</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31,999</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-Extended Term
     Loan, 2.49% &#150; 4.50%, 7/25/14</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">639</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">630,085</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ConvaTec, Inc., Term Loan, 5.75%, 12/22/16</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">594</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">592,331</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DaVita, Inc., Term Loan B, 4.50%, 10/20/16</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">891</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">893,040</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Emergency Medical Services, Term Loan,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 5/25/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">773</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">770,968</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Harden Healthcare LLC:</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan A, 8.50%,
     3/02/15</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">328</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">321,325</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche A Additional
     Term Loan, 7.75%, 3/02/15</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">494</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">484,188</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HCA, Inc., Tranche B-3 Term Loan, 3.49%,
     5/01/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">225</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">221,286</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Health Management Associates, Inc.,
     Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.50%, 11/16/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">270</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">268,245</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">inVentiv Health, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Combined Term Loan,
     6.50%, 8/04/16</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">642</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">616,734</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term
     Loan B-3, 6.75%, 5/15/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">347</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">333,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Medpace, Inc., Term Loan, 6.50% &#150;
     7.25%, 6/16/17</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">547</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">525,360</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vanguard Health Holding Co. II, LLC
     (Vanguard Health</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Systems, Inc.), Term
     Loan B, 5.00%, 1/29/16</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,748,861</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Technology
     &#151; 1.3%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IMS Health, Inc., Term Loan B, 4.50%,
     8/25/17</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">553</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">552,978</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kinetic Concepts, Inc., Term Loan B,
     7.00%, 5/04/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">695</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">706,294</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MedAssets, Inc., Term Loan, 5.25%, 11/16/16</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">399</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">399,422</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,658,694</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Hotels, Restaurants
     &amp; Leisure &#151; 5.7%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ameristar Casinos, Inc., Term Loan B,
     4.00%, 4/13/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">570</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">571,540</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Boyd Gaming Corp., Incremental Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.00%, 12/17/15</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">395</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">395,924</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Caesars Entertainment Operating Co.,
     Inc.:</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term
     Loan B4, 9.50%, 10/31/16</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">495</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">508,895</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B1, 3.24%,
     1/28/15</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">272</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">254,623</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B3, 3.24%
     &#150; 3.47%, 1/28/15</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,272</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,128,487</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dunkin&#146; Brands, Inc., Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00% &#150; 5.25%,
     11/23/17</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">898</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">894,849</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Golden Living, Term Loan, 5.00%, 5/04/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">148</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">138,807</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OSI Restaurant Partners LLC:</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Revolver, 2.56% &#150;
     2.79%, 6/14/13</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,378</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 2.56%,
     6/14/14</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,413</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Seaworld Parks &amp; Entertainment,
     Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 8/17/17</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">619</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">617,866</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Six Flags Theme Parks, Inc., Tranche
     B Term Loan</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(First Lien), 4.25%,
     12/20/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">690</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">686,985</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Station Casinos, Inc., Term Loan B1,
     3.24%, 6/17/16</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">475</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">428,293</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Twin River Worldwide Holdings, Inc.,
     Term Loan,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.50%, 11/05/15</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">519</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">518,890</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,193,950</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Household Products
     &#151; 0.6%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Prestige
     Brands, Inc., Term Loan, 5.25%, 1/31/19</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">690</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">692,588</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Independent Power
     Producers &amp; Energy Traders &#151; 1.0%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The AES Corp., Term Loan, 4.25%, 6/01/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">993</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">991,508</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Texas Competitive Electric Holdings
     Co. LLC, Extended</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 4.76%,
     10/10/17</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">574</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">320,236</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,311,744</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 3; Value: 13 -->
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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_4"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="53%"></TD>
     <TD width="46%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Schedule
     of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Defined Opportunity Credit Trust (BHL)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Industrial Conglomerates
     &#151; 1.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sequa Corp.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental
     Term Loan, 6.25%, 12/03/14</FONT></TD>
     <TD STYLE="text-align: left; width: 7%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">305</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">306,016</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 3.76%
     &#150; 3.84%, 12/03/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,763</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,744,049</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,050,065</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Insurance &#151;
     0.7%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CNO
     Financial Group, Inc., Term Loan, 6.25%, 9/30/16</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">817</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">820,345</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Internet Software
     &amp; Services &#151; 0.4%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Web.com
     Group, Inc., Term Loan B, 7.00%, 10/27/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">545</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">532,463</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>IT Services &#151;
     5.4%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ceridian Corp., Term Loan, 3.24%, 11/10/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">656</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">620,748</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">First Data Corp.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan
     B, 4.24%, 3/23/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,125</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,803,749</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-1, 2.99%,
     9/24/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">408</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">390,334</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-3, 2.99%,
     9/24/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">149</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">142,569</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">infoGROUP, Inc., Term Loan B, 5.75%,
     5/25/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">345</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">322,382</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">iPayment, Inc., Term Loan B, 5.75%,
     5/08/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">494</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">491,279</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NeuStar, Inc., Term Loan B, 5.00%, 11/08/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">409</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">409,997</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SunGard Data Systems, Inc. (Solar Capital
     Corp.),</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B Term Loan,
     3.99% &#150; 5.86%, 2/26/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">143</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">142,470</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TransUnion LLC, Term Loan B, 4.75%,
     2/12/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,457</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,458,471</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,781,999</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Leisure Equipment
     &amp; Products &#151; 0.2%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Eastman
     Kodak Co., DIP Term Loan B, 1.00%, 7/20/13</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">275</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">278,352</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Machinery &#151;
     1.5%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Terex Corp.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 6.00%,
     4/28/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79,140</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 5.50%,
     4/28/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">604</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">608,025</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tomkins LLC, Term Loan B, 4.25%, 9/23/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,169</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,167,792</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,854,957</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Media &#151; 19.2%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Acosta, Inc., Term Loan, 4.75%, 3/01/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">312</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">310,119</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Affinion Group, Inc., Term Loan B, 5.00%,
     10/10/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">735</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">688,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AMC Entertainment, Inc., Term Loan B3, 4.25%,
     2/22/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">325</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">320,674</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AMC Networks, Inc., Term Loan B, 4.00%,
     12/31/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">796</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">791,025</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Atlantic Broadband Finance LLC, Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 3/08/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">416</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">413,990</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bresnan Telecommunications Co., LLC,
     Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.50% &#150; 5.25%,
     12/14/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,436</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,430,720</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capsugel Healthcare Ltd., Term Loan,
     5.25%, 8/01/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">599</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">601,917</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Catalina Marketing Corp., Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.99%, 10/01/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">633</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">615,290</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cengage Learning Acquisitions, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 2.49%,
     7/03/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">425</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">394,098</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche 1 Incremental
     Term Loan, 7.50%, 7/03/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">371</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">359,138</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cequel Communications LLC, Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 2/11/19</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,095</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,083,798</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Charter Communications Operating LLC:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 7.25%,
     3/06/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,302</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 3.83%,
     9/06/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,046</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,038,206</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Clarke American Corp., Term Facility
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.74% &#150; 3.08%,
     6/30/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">227</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">207,076</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Clear Channel Communications:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 3.89%,
     1/28/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,185</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">972,506</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 3.89%,
     1/28/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">160</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">126,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cumulus Media, Inc., Term Loan, 5.75%,
     9/17/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">615</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">615,510</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gray Television, Inc., Term Loan B,
     3.77%, 12/31/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">640</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">632,734</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HMH Publishing Co. Ltd., Tranche A Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.51%, 6/12/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">604</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">373,459</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hubbard Broadcasting, Term Loan B (Second
     Lien),</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 4/28/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">498</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">497,913</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Intelsat Jackson Holdings SA, Tranche
     B Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 4/02/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,978</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,972,438</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interactive Data Corp., Term Loan B,
     4.50%, 2/12/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,315</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,312,104</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Media (concluded)</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="LEFT"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kabel Deutschland GmbH, Term Loan F, 4.25%, 2/01/19</FONT></TD>
     <TD ALIGN="LEFT" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"> USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">640</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">636,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Knology, Inc., Term Loan B, 4.00%, 8/18/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">246</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">243,670</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lavena Holding 4 GmbH (Prosiebensat.1
     Media AG):</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 3.81%,
     3/06/15</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">460</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">533,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 4.06%,
     3/04/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">460</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">536,118</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">LIN Television Corp., Term Loan B, 5.00%,
     12/21/18</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">325</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">326,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mediacom LLC, Term Loan E, 4.50%, 10/23/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">493</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">487,452</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Newsday LLC, Fixed Rate Term Loan:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.82%, 8/01/13</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">502,710</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.50%, 8/01/13</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">800</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">823,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nielsen Finance LLC, Class B Dollar
     Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.01%, 5/02/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">634</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">635,918</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sinclair Television Group, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term
     Loan B3, 4.00%, 10/28/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">129,390</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B Term Loan,
     4.00%, 10/28/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">421</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">418,935</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Univision Communications, Inc., Extended
     First Lien</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 4.49%,
     3/31/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">988</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">917,193</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UPC Broadband Holding B.V., Term Loan
     U,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.72%, 12/29/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">196</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">256,005</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UPC Financing Partnership:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 4.75%,
     12/29/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">585</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">583,976</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan T, 3.77%,
     12/30/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">78,660</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WC Luxco Sarl, Term Loan B3, 4.25%,
     3/15/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">218</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">217,837</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Weather Channel, Term Loan B, 4.25%,
     2/13/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">962</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">962,960</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,060,166</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Metals &amp; Mining
     &#151; 2.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Novelis, Inc., Term Loan, 4.00%, 3/10/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,321</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,314,720</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SunCoke Energy, Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00% &#150; 5.25%,
     7/26/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">448</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">446,631</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Walter Energy, Inc., Term Loan B, 4.00%,
     4/02/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,514</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,507,007</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,268,358</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Multi-Utilities &#151;
     0.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FirstLight Power Resources, Inc., Term
     B Advance</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(First
     Lien), 2.75%, 11/01/13</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">160</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">150,569</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Multiline Retail
     &#151; 2.5%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99 Cents Only Stores, Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.00% &#150; 7.00%,
     1/11/19</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">525</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">528,376</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dollar General Corp., Tranche B-2 Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.00% &#150; 3.33%,
     7/07/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">316</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">315,720</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hema Holding BV, Second Lien Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.69%, 1/05/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,800</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,086,381</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Neiman Marcus Group, Inc., Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.75%, 5/16/18</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">175</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">173,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,104,077</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Oil, Gas &amp; Consumable
     Fuels &#151; 1.8%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EquiPower Resources Holdings LLC, Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.75%, 1/26/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">699</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">656,731</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gibson Energy, Term Loan B, 5.75%, 6/15/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">796</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">796,828</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Obsidian Natural Gas Trust, Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 11/02/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">848</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">852,184</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,305,743</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Paper &amp; Forest
     Products &#151; 0.2%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NewPage
     Corp., Term Loan, 8.00%, 3/07/13</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">201,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Pharmaceuticals &#151;
     3.9%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aptalis Pharma, Inc., Term Loan B, 5.50%,
     2/10/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">990</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">981,585</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Endo Pharmaceuticals Holdings, Inc.,
     Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 6/18/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">162</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">161,811</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pharmaceutical Product Development,
     Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%, 12/05/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">830</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">837,262</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Quintiles Transnational Corp., Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00%, 6/08/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">592</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">588,112</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">RPI Finance Trust, Term Loan Tranche
     2, 4.00%, 5/09/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">498</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">496,624</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Taminco Global Chemical Corp., New Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%, 2/15/19</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">290</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">291,192</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 4; Value: 13 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->16<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">FEBRUARY 29, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_5"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="53%"></TD>
     <TD width="46%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Schedule
     of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Defined Opportunity Credit Trust (BHL)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Pharmaceuticals (concluded)</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valeant Pharmaceuticals International,
     Add on</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan
     B, 3.75%, 2/08/19</FONT></TD>
     <TD STYLE="text-align: left; width: 7%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,050</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,046,724</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Warner Chilcott Corp.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-1, 4.25%,
     3/15/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">318</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">316,854</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-2, 4.25%,
     3/15/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">159</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">158,427</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,878,591</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Professional Services
     &#151; 1.5%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Booz Allen Hamilton, Inc., Tranche B
     Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 8/03/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">273</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">274,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Emdeon, Inc., Term Loan B, 6.75%, 11/02/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">850</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">859,715</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fifth Third Processing Solutions LLC,
     Term Loan B</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(First Lien), 4.50%,
     11/03/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">707</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">707,517</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,841,232</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Real Estate Investment
     Trusts (REITs) &#151; 0.7%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">iStar
     Financial, Inc., Term Loan A1, 5.00%, 6/28/13</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">847</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">842,917</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Real Estate Management
     &amp; Development &#151; 0.8%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Realogy Corp.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Synthetic
     Letter of Credit,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.25%, 10/10/13</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,868</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Synthetic
     Letter of Credit,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.53%, 10/10/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42,868</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan,
     4.77%, 10/10/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,060</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">983,229</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,049,965</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Road &amp; Rail &#151;
     0.8%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Avis Budget Car Rental LLC, Incremental
     Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%, 9/21/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">484</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">488,504</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">RailAmerica, Inc., Term Loan B, 4.00%,
     2/27/19</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">480</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">478,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">967,304</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Semiconductors &amp;
     Semiconductor Equipment &#151; 0.8%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Freescale Semiconductor, Inc., Extended
     Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.52%, 12/01/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">439</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">427,524</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NXP B.V., Term Loan A-2, 5.50%, 3/03/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">524</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">520,020</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">947,544</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Software &#151; 1.5%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Blackboard, Inc., Term Loan B, 7.50%,
     10/04/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">255</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">251,601</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Infor Enterprise Solutions Holdings,
     Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Delayed
     Draw Term Loan, 6.29%, 7/28/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,953</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Initial
     Term Loan, 6.29%, 7/28/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31,922</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Initial
     Term Loan, 6.68%, 7/28/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">195</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,860</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rovi Corp., Tranche B Term Loan, 4.00%,
     2/07/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">447</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">446,067</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sophia, LP, Term Loan B, 6.25%, 7/19/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">525</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">530,470</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vertafore, Inc., Term Loan B, 5.25%,
     7/29/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">307</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">304,292</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,826,165</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Specialty Retail
     &#151; 4.5%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Academy Ltd., Term Loan, 6.00%, 8/03/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">800</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">799,912</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bass Pro Group LLC, Term Loan, 5.25%,
     6/13/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,743</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Burlington Coat Factory Warehouse Corp.,
     Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%, 2/23/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">431</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">430,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Claire&#146;s Stores, Inc., Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.29% &#150; 3.30%,
     5/29/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">197</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">186,683</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">General Nutrition Centers, Inc., Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.25%, 3/02/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">835</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">832,528</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Gymboree Corp., Term Loan, 5.00%,
     2/23/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">282,075</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jo-Ann Stores, Inc., Term Loan B, 4.75%,
     3/16/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">293</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">288,586</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Michaels Stores, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan
     B3, 5.13%, 7/29/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">334</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">332,407</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-2, 5.13%,
     7/29/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">641</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">637,137</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Petco Animal Supplies, Inc., Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.50%, 11/24/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">943</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">938,672</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Toys &#145;R&#146; Us Delaware, Inc.,
     Term Loan B1,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.00%, 9/01/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">907</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">907,443</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,696,061</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD COLSPAN="2"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2" STYLE="padding-right: 3"></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Wireless
     Telecommunication Services &#151; 2.4%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Crown Castle International
     Corp., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left; width: 68%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%,
     1/31/19</FONT></TD>
     <TD STYLE="text-indent: 6px; text-align: left; width: 7%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD &nbsp;</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">695</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 3; vertical-align: bottom; width: 4%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 3; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">691,838</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Digicel International, Tranche
     A, 3.13%, 3/30/12</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">235</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">233,541</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MetroPCS Wireless, Inc.,
     Tranche B-2 Term Loan,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.07%
     &#150; 4.13%, 11/03/16</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">765</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">758,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vodafone Americas Finance
     2, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term
     Loan, 6.88%, 8/11/15</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">934</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">934,121</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term
     Loan B, 6.25%, 7/11/16</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">413</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">411,469</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,029,369</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Floating Rate Loan Interests &#151; 111.5%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">139,884,177</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Long-Term Investments</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(Cost
     &#151; $159,479,952) &#151; 127.8%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">160,404,755</FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Short-Term
     Securities</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BlackRock Liquidity Funds,
     TempFund, Institutional</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Class,
     0.11% (f)(g)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,243,014</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,243,014</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Short-Term Securities</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(Cost
     &#151; $2,243,014) &#151; 1.8%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,243,014</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Investments (Cost
     &#151; $161,722,966) &#151; 129.6%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">162,647,769</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Liabilities in Excess
     of Other Assets &#151; (29.6)%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(37,172,337)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Net Assets &#151; 100.0%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">125,475,432</FONT></TD></TR>                                                                                                          <TR STYLE="vertical-align: bottom">
     <TD COLSPAN="2" STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
</TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(a)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Security
                                                                               exempt from registration pursuant to Rule 144A
                                                                               under the Securities Act of 1933. These securities
                                                                               may be resold in transactions exempt from registration
                                                                               to qualified institutional investors.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(b)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Variable
                                                                               rate security. Rate shown is as of report date.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(c)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-income
                                                                               producing security.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(d)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Restricted
                                                                               security as to resale. As of report date the Portfolio
                                                                               held 0.8% of its net assets, with a current value
                                                                               of $958,994 and an original cost of $176,777 in
                                                                               these securities.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(e)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">When-issued
                                                                               security. Unsettled when-issued transactions were
                                                                               as follows:</FONT></TD>
</TR></TABLE>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD STYLE="width: 56%; text-align: center"></TD>
     <TD STYLE="width: 21%; text-align: center"></TD>
     <TD STYLE="width: 21%; text-align: center"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Counterparty</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Unrealized<BR>
     Appreciation</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
     Stanley Co.</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$82,200</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$
     2,200</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(f)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investments in companies considered
to be an affiliate of the Fund during the period, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:</FONT></TD>
</TR></TABLE>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD STYLE="width: 32%; text-align: center"></TD>
     <TD STYLE="width: 18%; text-align: center"></TD>
     <TD STYLE="width: 14%; text-align: center"></TD>
     <TD STYLE="width: 23%; text-align: center"></TD>
     <TD STYLE="width: 11%; text-align: center"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Affiliate</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares
     Held at<BR>
     August 31, 2011</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Net<BR>
     Activity</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares
     Held at<BR>
     February 29, 2012</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Income</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BlackRock Liquidity</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 12px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Funds, TempFund,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Institutional
     Class</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: #000000 1px solid; text-indent: 12px; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,230,753</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,261</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,243,014</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$
     278</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(g)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Represents
                                                                               the current yield as of report date.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Foreign
                                                                                  currency exchange contracts as of February 29,
                                                                                  2012 were as follows:</FONT></TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"></TD>
     <TD COLSPAN="2" STYLE="text-align: center; padding-right: 4"></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left; vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Currency<BR>
     Purchased</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Currency<BR>
     Sold</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Counterparty</B></FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Settlement<BR>
     Date</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center; padding-right: 4; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Unrealized<BR>
     Appreciation<BR>
     (Depreciation)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,390</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CAD</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">101,500</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Royal Bank</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 6%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; width: 14%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom; width: 6%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; width: 17%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 21%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">of Scotland Plc</FONT></TD>
     <TD STYLE="text-indent: 6px; text-align: center; vertical-align: bottom; width: 23%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/11/12</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 0; width: 4%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 0; width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,101)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,181,882</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">771,000</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-indent: 6px; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/11/12</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(44,353)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">265,156</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AG London</FONT></TD>
     <TD STYLE="text-indent: 6px; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/18/12</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,356</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">190,000</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">247,648</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Royal Bank</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">of Scotland Plc</FONT></TD>
     <TD STYLE="text-indent: 6px; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/18/12</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,538</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,093,702</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,187,000</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citibank NA</FONT></TD>
     <TD STYLE="text-indent: 6px; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/18/12</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(153,170)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">455,932</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">350,000</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Royal Bank</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">of
     Scotland Plc</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/18/12</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(10,464)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"></TD>
     <TD STYLE="text-align: left; padding-right: 0; padding-top: 0; vertical-align: bottom; border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 0; padding-top: 0; border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(204,194)&nbsp;</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 5; Value: 13 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">FEBRUARY 29, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->17<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_6"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="54%"></TD>
     <TD width="45%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Schedule
     of Investments <FONT STYLE="font-size: 14pt">(concluded)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Defined Opportunity Credit Trust (BHL)</B></FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
                                                                                  Fund compliance purposes, the Fund&#146;s industry
                                                                                  classifications refer to any one or more of
                                                                                  the industry sub-classifications used by one
                                                                                  or more widely recognized market indexes or
                                                                                  rating group indexes, and/or as defined by Fund
                                                                                  management. These definitions may not apply
                                                                                  for purposes of this report, which may combine
                                                                                  such industry sub-classifications for reporting
                                                                                  ease.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fair
                                                                                  Value Measurements &#151; Various inputs are
                                                                                  used in determining the fair value of investments
                                                                                  and derivative financial instruments. These
                                                                                  inputs are categorized into a disclosure hierarchy
                                                                                  consisting of three broad levels for financial
                                                                                  statement purposes as follows:</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
                                                                                  1 &#151; unadjusted price quotations in active
                                                                                  markets/exchanges for identical assets and liabilities</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
                                                                                  2 &#151; other observable inputs (including,
                                                                                  but not limited to: quoted prices for similar
                                                                                  assets or liabilities in markets that are active,
                                                                                  quoted prices for identical or similar assets
                                                                                  or liabilities in markets that are not active,
                                                                                  inputs other than quoted prices that are observable
                                                                                  for the assets or liabilities (such as interest
                                                                                  rates, yield curves, volatilities, prepayment
                                                                                  speeds, loss severities, credit risks and default
                                                                                  rates) or other market-corroborated inputs)</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
                                                                                  3 &#151; unobservable inputs based on the best
                                                                                  information available in the circumstances,
                                                                                  to the extent observable inputs are not available
                                                                                  (including the Fund&#146;s own assumptions used
                                                                                  in determining the fair value of investments
                                                                                  and derivative financial instruments)</FONT></TD>
</TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Changes in valuation techniques may result
in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments
and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument
and does not necessarily correspond to the Fund&#146;s perceived risk of investing in those securities. For information about
the Fund&#146;s policy regarding valuation of investments and derivative financial instruments and other significant accounting
policies, please refer to Note 1 of the Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The following tables summarize the inputs
used as of February 29, 2012 in determining the fair valuation of the Fund&#146;s investments and derivative financial instruments:</FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1pt; vertical-align: bottom; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valuation
    Inputs</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
                                                                                                                                                      1</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
                                                                                                                                                      2</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
                                                                                                                                                      3</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Assets:</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investments:</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Long-Term</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investments:</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset-Backed</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 40%; text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD><TD STYLE="width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,199,274</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,409,873</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,609,147</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Common Stocks</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">958,995</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">209,496</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,168,491</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,742,940</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,742,940</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Loan Interests</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">132,579,459</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,304,718</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">139,884,177</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Short-Term</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,243,014</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,243,014</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,243,014</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">150,480,668</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,924,087</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">162,647,769</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="17"></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1pt; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valuation
    Inputs</FONT></TD><TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
                                                                                                                            1</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
                                                                                                                                                      2</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
                                                                                                                                                      3</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="17"></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Derivative Financial Instruments<SUP>1</SUP></FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Assets:</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Foreign currency</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">exchange</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">contracts</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,894</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,894</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Liabilities:</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Foreign currency</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">exchange</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">contracts</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(211,088</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(211,088</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(204,194</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(204,194</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>1</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Derivative
                                                                                        financial instruments are foreign currency
                                                                                        exchange contracts, which are valued at
                                                                                        the unrealized appreciation/depreciation
                                                                                        on the instrument.</FONT></TD>
</TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: 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>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset-Backed<BR>
    Securities</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Common<BR>
    Stocks</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating
    Rate<BR> Loan Interests</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Assets/Liabilities:</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 40%; text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Balance,
    as of August 31, 2011</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,378,561</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">106,534</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,822,191</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,307,286</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Accrued discounts/premiums</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,234</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,960</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,194</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Net realized gain
    (loss)</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,884</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,884</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Net change in unrealized
    <BR>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;appreciation/depreciation<SUP>2</SUP></FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,078</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(105,493</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(86,118</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(180,533</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Purchases</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">515,497</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">515,497</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sales</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(542,817</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(542,817</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Transfers in<SUP>3</SUP></FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">208,455</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,773,414</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,981,869</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Transfers
    out<SUP>3</SUP></FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,196,293</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,196,293</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Balance,
    as of February 29, 2012</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,409,873</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">209,496</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,304,718</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,924,087</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>2</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: 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 investments
                                                                                        still held at February 29, 2012 was $(179,643).</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>3</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
                                                                                        Fund&#146;s policy is to recognize transfers
                                                                                        in and transfers out as of the beginning
                                                                                        of the period of the event or the change
                                                                                        in circumstances that caused the transfer.</FONT></TD>
</TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">A reconciliation of Level 3 investments and
derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial
instruments at the beginning and/or end of the year in relation to net assets.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 6; Value: 13 -->
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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_7"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="52%"></TD>
     <TD width="47%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments</FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Diversified Income Strategies Fund, Inc. (DVF)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">February 29, 2012 (Unaudited)</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD></TD>
     <TD></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Asset-Backed
     Securities</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ARES CLO Funds, Series 2005-10A, Class B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.95%,
     9/18/17 (a)(b)</FONT></TD>
     <TD STYLE="text-indent: 6px; text-align: left; width: 7%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">250</FONT></TD>
     <TD STYLE="text-align: right; width: 3%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 12%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">231,345</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canaras Summit CLO Ltd., Series 2007-1A,
     Class B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.04%, 6/19/21 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">365</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">310,356</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chatham Light CLO Ltd., Series 2005-2A,
     Class A2,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.94%, 8/03/19 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">850</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">728,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Flagship CLO, Series 2006-1A, Class
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.91%, 9/20/19 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">772,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fraser Sullivan CLO Ltd., Series 2006-2A,
     Class B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.96%, 12/20/20 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">425,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gannett Peak CLO Ltd., Series 2006-1X, Class
     A2,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.92%, 10/27/20 (b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">280</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">226,100</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Landmark CDO Ltd., Series 2006-8A, Class
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.92%, 10/19/20 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">525</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">439,519</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MAPS CLO Fund LLC, Series 2005-1A, Class
     C,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.52%, 12/21/17 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">275</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">247,775</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Portola CLO Ltd., Series 2007-1X, Class
     B1,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.95%, 11/15/21 (b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">370</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">317,275</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">T2 Income Fund CLO Ltd., Series 2007-1A,
     Class B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.17%,
     7/15/19 (a)(b)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">320</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">277,520</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Asset-Backed Securities &#151; 3.0%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,976,265</FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Common
     Stocks (c)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Auto Components &#151;
     0.8%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delphi Automotive Plc (180-day lock)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(acquired
     11/17/11, cost $189,716) (d)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,726</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,021,064</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Financial
     Services &#151; 1.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kcad
     Holdings I Ltd.</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">144,281,996</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,320,902</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Electrical Equipment
     &#151; 0.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Medis
     Technologies Ltd.</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">176,126</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">881</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Hotels, Restaurants
     &amp; Leisure &#151; 0.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buffets
     Restaurants Holdings, Inc.</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">688</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">69</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Metals &amp; Mining
     &#151; 0.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euramax
     International</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">468</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135,575</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Paper &amp; Forest
     Products &#151; 0.3%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ainsworth
     Lumber Co. Ltd. (a)</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">275,167</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">433,837</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Software &#151; 0.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bankruptcy Management Solutions, Inc.</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">536</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HMH Holdings/EduMedia</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,526</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,381</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,392</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Common Stocks &#151; 2.2%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,923,720</FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Airlines &#151; 0.4%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American Airlines Pass-Through Trust, Series
     2011-2,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Class A, 8.63%, 4/15/23</FONT></TD>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">133</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">140,980</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delta Air Lines, Inc., Series 2009-1-B,
     9.75%, 6/17/18</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,663</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">United Air Lines, Inc., 12.75%, 7/15/12</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">295</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">304,936</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">504,579</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Auto Components &#151;
     0.9%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Icahn Enterprises LP:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.75%, 1/15/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">735</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">769,912</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.00%, 1/15/18 (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">330</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">349,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,119,712</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Capital Markets &#151;
     0.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">E*Trade Financial Corp.,
     3.98%, 8/31/19 (a)(e)(f)</FONT></TD>
     <TD STYLE="text-align: left; width: 7%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">83</FONT></TD>
     <TD STYLE="text-align: center; width: 3%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 12%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">78,539</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">KKR Group Finance Co., 6.38%, 9/29/20
     (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85,137</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">163,676</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Chemicals &#151;
     0.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CF Industries, Inc., 6.88%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">445</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">523,987</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ineos Finance Plc, 8.38%, 2/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">122,188</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lyondell Chemical Co., 11.00%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">137</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">150,463</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">LyondellBasell Industries NV, 6.00%,
     11/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">840,538</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Commercial Banks
     &#151; 0.2%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CIT Group, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 5/01/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26,628</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 5/02/16 (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130,162</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 5/02/17 (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">140</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">140,175</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Glitnir Banki HF, 6.38%, 9/25/12 (c)(f)(g)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">365</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">296,965</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Commercial Services
     &amp; Supplies &#151; 0.3%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ARAMARK Corp., 4.05%, 2/01/15 (b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,756</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AWAS Aviation Capital Ltd., 7.00%, 10/17/16
     (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">343</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">358,034</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Brickman Group Holdings, Inc., 9.13%,
     11/01/18 (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">436,090</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Consumer Finance
     &#151; 0.3%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Inmarsat
     Finance Plc, 7.38%, 12/01/17 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">350</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">374,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Containers &amp;
     Packaging &#151; 0.4%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Graphic Packaging International, Inc.,
     9.50%, 6/15/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">116,812</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Smurfit Kappa Acquisitions (a):</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.25%, 11/15/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">160</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">228,090</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.75%, 11/15/19</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">193,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">538,702</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Financial
     Services &#151; 1.5%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ally Financial, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.50%, 12/31/13</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.73%, 12/01/14 (b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">750</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">701,949</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.50%, 9/15/20</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">160</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">176,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.00%, 11/01/31</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">78,137</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.00%, 11/01/31</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">86,804</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Axcan Intermediate Holdings, Inc., 12.75%,
     3/01/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">66</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70,373</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reynolds Group Issuer, Inc. (a):</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.75%, 10/15/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">319,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.75%, 10/15/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">283,114</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.88%, 2/15/21</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">195</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">206,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,944,077</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Telecommunication
     Services &#151; 0.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ITC
     Deltacom, Inc., 10.50%, 4/01/16</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">180</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">187,650</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Providers
     &amp; Services &#151; 0.5%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HCA, Inc., 6.50%, 2/15/20</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">420</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">450,450</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tenet Healthcare Corp., 6.25%, 11/01/18
     (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">195</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">207,919</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">658,369</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Technology
     &#151; 0.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IMS
     Health, Inc., 12.50%, 3/01/18 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">700</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">833,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Hotels, Restaurants
     &amp; Leisure &#151; 1.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Little Traverse Bay Bands of Odawa Indians,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.00%, 8/31/20 (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">192</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">168,960</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MGM Resorts International:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.38%, 5/15/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">390</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">443,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11.13%, 11/15/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">390</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">443,625</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 7; Value: 13 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">FEBRUARY 29, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->19<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_8"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="59%"></TD>
     <TD width="40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Diversified Income <BR>
     Strategies Fund, Inc. (DVF)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Hotels, Restaurants
     &amp; Leisure (concluded)</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Travelport LLC:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.15%,
     9/01/14 (b)</FONT></TD>
     <TD STYLE="text-align: left; width: 7%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">665</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">340,812</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.88%, 9/01/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">83,013</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tropicana Entertainment LLC, Series
     WI,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.63%, 12/15/14 (c)(g)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,480,035</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Household Durables
     &#151; 0.4%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Beazer
     Homes USA, Inc., 12.00%, 10/15/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">545,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Independent Power Producers
     &amp; Energy Traders &#151; 1.9%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Calpine Corp., 7.25%, 10/15/17 (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">575</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">609,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energy Future Holdings Corp., 10.00%,
     1/15/20</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">370</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">400,062</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energy Future Intermediate Holding Co.
     LLC,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.00%, 12/01/20</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,355</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,471,869</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,481,431</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Industrial Conglomerates
     &#151; 0.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sequa
     Corp., 13.50%, 12/01/15 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">722</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">770,275</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Machinery &#151;
     0.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UR
     Financing Escrow Corp., 5.75%, 7/15/18 (a)(h)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">87,338</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Media &#151; 2.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AMC Networks, Inc., 7.75%, 7/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">122,650</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCH II LLC, 13.50%, 11/30/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">575,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Checkout Holding Corp., 10.68%, 11/15/15
     (a)(e)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">325</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">146,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Clear Channel Worldwide Holdings, Inc.,
     Series B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.25%, 12/15/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">884</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">972,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CSC Holdings LLC, 8.50%, 4/15/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">180</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">199,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NAI Entertainment Holdings LLC, 8.25%, 12/15/17
     (a)</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">330,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unitymedia Hessen GmbH &amp; Co. KG,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.13%, 12/01/17 (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,085,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,431,100</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Metals &amp; Mining
     &#151; 0.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">RathGibson,
     Inc., 11.25%, 2/15/14 (c)(g)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,390</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Multiline Retail
     &#151; 0.2%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dollar
     General Corp., 11.88%, 7/15/17 (b)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">215</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">235,965</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Oil, Gas &amp; Consumable
     Fuels &#151; 0.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Coffeyville
     Resources LLC, 9.00%, 4/01/15 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">144,450</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Paper &amp; Forest
     Products &#151; 0.7%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15
     (a)(i)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">296</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">215,867</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Clearwater Paper Corp., 10.63%, 6/15/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">190</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">215,887</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Longview Fibre Paper &amp; Packaging,
     Inc.,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.00%, 6/01/16 (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">165</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">169,538</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Verso Paper Holdings LLC:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11.50%, 7/01/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">144</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">146,880</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series B, 4.30%,
     8/01/14 (b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">117,725</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">865,897</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Pharmaceuticals &#151;
     0.2%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valeant Pharmaceuticals International,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%,
     7/15/16 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">195</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Real Estate Management
     &amp; Development &#151; 0.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Realogy
     Corp., 7.63%, 1/15/20 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">175</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">180,687</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Wireless Telecommunication
     Services &#151; 2.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cricket Communications, Inc., 7.75%,
     5/15/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">850</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">905,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Digicel Group Ltd. (a):</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.13%, 1/15/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">279</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">284,580</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.25%, 9/01/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">255</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">270,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">iPCS, Inc., 2.67%, 5/01/13 (b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">192,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sprint Nextel Corp. (a):</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.00%, 11/15/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">390</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">434,850</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 3/01/20</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">585</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">594,506</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,681,986</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Corporate Bonds &#151; 15.9%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,000,922</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Aerospace &amp; Defense
     &#151; 1.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DynCorp International, Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%
     &#150; 6.75%, 7/07/16</FONT></TD>
     <TD STYLE="text-align: left; width: 7%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">324</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">322,665</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SI Organization, Inc., New Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.50%, 11/22/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">418</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">400,118</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TransDigm, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Add on Term Loan
     B2, 4.00%, 2/14/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">190</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">190,158</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan (First
     Lien), 4.00%, 2/14/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">891</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">890,216</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wesco Aircraft Hardware Corp., Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.25%, 4/07/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">337</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">336,469</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,139,626</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Airlines &#151; 0.8%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delta Air Lines, Inc., Credit New Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.50%,
     4/20/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,063</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,037,421</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Auto Components &#151;
     2.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Allison Transmission, Inc., Term Loan
     B, 2.75%, 8/07/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,467</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,450,330</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Autoparts Holdings, Ltd., First Lien
     Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%, 7/28/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">698</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">699,996</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Federal-Mogul Corp.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 2.19%
     &#150; 2.20%, 12/29/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">313</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">299,323</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 2.19%
     &#150; 2.20%, 12/28/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">160</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">152,716</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Schaeffler AG, Term Loan C2, 6.00%,
     1/27/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">480</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">481,402</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UCI International, Inc., Term Loan,
     5.50%, 7/26/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">347</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">347,366</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,431,133</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Biotechnology &#151;
     0.7%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Grifols
     Inc., Term Loan B, 4.50%, 6/1/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">918</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">916,374</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Building Products
     &#151; 2.9%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Armstrong World Industries, Inc., Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 3/09/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">571</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">568,370</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CPG International, Inc., Term Loan B,
     6.00%, 2/18/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">842</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">795,217</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goodman Global Holdings, Inc., Initial
     Term Loan</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(First Lien), 5.75%,
     10/28/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,094</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,104,554</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Momentive Performance Materials, Inc.
     (Blitz 06-103</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GmbH), Tranche B-2B
     Term Loan, 4.08%, 5/05/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">315</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">397,326</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,865,467</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Capital Markets &#151;
     1.7%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American Capital Ltd., Term Loan B,
     7.50%, 12/31/13</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70,154</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HarbourVest Partners, Term Loan (First
     Lien),</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%, 12/16/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">838</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">838,853</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nuveen Investments, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(First Lien), Term
     Loan, 3.30% &#150; 3.58%, 11/13/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">438</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">435,132</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan,
     5.74% &#150; 5.83%, 5/12/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">862</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">859,685</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term
     Loan, 7.25%, 5/13/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85,595</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,289,419</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Chemicals &#151;
     4.7%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American Rock Salt Holdings LLC, Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.50%, 4/25/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">605</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">562,615</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ashland, Inc., Term Loan B, 3.75%, 8/23/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">419</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">420,333</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chemtura Corp., Exit Term Loan B, 5.50%,
     8/27/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">700</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">702,191</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gentek, Inc., Term Loan B, 5.00% &#150;
     5.75%, 10/06/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">518</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">514,752</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MDI Holdings LLC, Tranche C Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.76%, 4/11/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">219</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">283,687</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nexeo Solutions LLC, Term Loan B, 5.00%,
     9/08/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">596</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">586,317</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PolyOne Corp., Term Loan, 5.00%, 12/20/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">195</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">195,293</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PQ Corp., Original Term Loan (First
     Lien),</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.50%, 7/30/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">697</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">679,573</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Styron Sarl LLC, Term Loan B, 6.00%
     &#150; 6.75%, 8/02/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">541</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">487,487</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tronox Worldwide LLC:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delayed Draw Term
     Loan, 1.00%, 2/09/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185,150</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 4.25%,
     2/08/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">680</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">678,882</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Univar, Inc., Term Loan B, 5.00%, 6/30/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">988</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">979,784</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,276,064</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 8; Value: 13 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->20<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">FEBRUARY 29, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_9"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="59%"></TD>
     <TD width="40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Diversified Income <BR>
     Strategies Fund, Inc. (DVF)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Commercial Services
     &amp; Supplies &#151; 3.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Altegrity, Inc., Tranche
     D Term Loan, 7.75%, 2/20/15</FONT></TD>
     <TD STYLE="text-align: left; width: 7%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">790</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">789,091</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ARAMARK Corp.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Letter of Credit,
     3.55%, 7/26/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,503</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan
     B, 3.83%, 7/26/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">234</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">231,786</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AWAS Finance Luxembourg Sarl, Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 6/10/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">413</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">411,650</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delos Aircraft, Inc., Term Loan B2,
     7.00%, 3/17/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">925</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">925,990</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">International Lease Finance Corp., Term
     Loan B1,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.75%, 3/17/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,067</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">KAR Auction Services, Inc., Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00%, 5/19/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,244</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,242,195</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Synagro Technologies, Inc., Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.25% &#150; 2.26%,
     4/02/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">636</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">568,892</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Volume Services America, Inc., Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.50% &#150; 10.75%,
     9/16/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">494</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">495,809</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,721,983</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Communications Equipment
     &#151; 1.2%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Avaya, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B1, 3.24%,
     10/24/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">548</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">535,749</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B3, 4.99%,
     10/26/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">330</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">320,024</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CommScope, Inc., Term Loan B, 5.00%,
     1/14/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">768</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">768,024</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,623,797</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Construction &amp;
     Engineering &#151; 0.9%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BakerCorp. International, Inc., Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00%, 6/01/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">433</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">432,176</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Safway Services, LLC, First Out Tranche
     Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.00%, 12/16/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">800</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">800,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,232,176</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Consumer Finance
     &#151; 1.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Springleaf
     Finance Corp., Term Loan, 5.50%, 5/10/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,270</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,069,355</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Containers &amp;
     Packaging &#151; 0.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sealed
     Air Corp., Term Loan B, 4.75%, 10/03/18</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">763</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">770,749</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Consumer
     Services &#151; 3.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Coinmach Service Corp., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.41%, 11/20/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,336</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,230,110</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Laureate Education, Inc., Extended Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 8/15/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,903</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,816,711</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ServiceMaster Co.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delayed Draw Term
     Loan, 2.75%, 7/24/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">103</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">101,514</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 2.77%
     &#150; 3.03%, 7/24/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,032</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,019,372</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,167,707</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Financial
     Services &#151; 1.5%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reynolds Group Holdings, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B Term Loan,
     6.50%, 2/09/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">565</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">569,629</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche C Term Loan,
     5.25% &#150; 6.50%, 8/09/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,382</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,395,908</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,965,537</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Telecommunication
     Services &#151; 4.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hawaiian Telcom Communications, Inc.,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 9.00%,
     2/25/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,105</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,102,238</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Integra Telecom Holdings, Inc., Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.25%, 4/15/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">813</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">715,110</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 3 Financing, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B2, 5.75%,
     9/03/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,700</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,711,696</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B3, 5.75%,
     8/31/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">750</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">755,160</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche A Term Loan,
     2.51% &#150; 2.83%, 3/13/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,175</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,155,612</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US Telepacific Corp., Term Loan B, 5.75%,
     2/23/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">745</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">705,845</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,145,661</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Electronic Equipment,
     Instruments &amp; Components &#151; 1.2%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CDW LLC (FKA CDW Corp.), Extended Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%,
     7/14/17</FONT></TD>
     <TD STYLE="text-align: left; width: 7%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">851</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">831,620</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Flextronics International Ltd., Delayed
     Draw:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan A-2, 2.52%,
     10/01/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,590</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan A-3, 2.49%,
     10/01/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,220</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sensata Technologies Finance Co., LLC,
     Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 5/11/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">740</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">738,453</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,613,883</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Energy Equipment
     &amp; Services &#151; 2.9%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCS Corp.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term
     Loan, 6.50%, 10/17/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">370</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">370,370</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 3.24%,
     11/14/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">796</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">770,516</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dynegy Midwest Generation LLC., Coal
     Co. Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.25%, 8/04/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">484</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">481,730</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dynegy Power LLC., Gas Co. Term Loan,
     9.25%, 8/04/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">613</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">632,101</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MEG Energy Corp., Term Loan B, 4.00%,
     3/16/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,596</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,592,728</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,847,445</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Food &amp; Staples
     Retailing &#151; 1.8%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AB Acquisitions UK Topco 2 Ltd., Facility
     B1,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.60%, 7/09/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">750</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,089,834</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B&amp;G Foods, Inc., Term Loan B, 4.50%,
     11/30/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185,416</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bolthouse Farms, Inc., Term Loan (First
     Lien),</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.50%, 2/11/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">245</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">245,122</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S. Foodservice, Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.74% &#150; 2.75%,
     7/03/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">834</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">805,262</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,325,634</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Food Products &#151;
     3.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Advance Pierre Foods:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan (First
     Lien), 5.50%, 9/30/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">919</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">918,536</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan (Second
     Lien), 11,25%, 9/29/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">550</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">550,456</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Del Monte Corp., Term Loan, 4.50%, 3/08/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,235</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,210,716</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Michaels Foods Group, Inc., Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.25%, 2/23/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">107</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">106,843</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pinnacle Foods Finance LLC:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B Term Loan,
     2.76% &#150; 3.08%, 4/02/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,515</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche D Term Loan,
     6.00% &#150; 6.50%, 4/02/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">494</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">496,950</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Solvest, Ltd. (Dole):</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B-2 Term
     Loan, 5.00%, 7/06/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">266</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">267,241</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche C-2 Term
     Loan, 5.00% &#150; 6.00%, 7/06/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">495</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">496,306</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,091,563</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Equipment
     &amp; Supplies &#151; 1.7%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Biomet, Inc., Term Loan B, 3.24% &#150;
     3.57%, 3/25/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">194</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">191,826</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DJO Finance LLC, Term Loan B, 3.24%,
     5/20/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">488</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">481,261</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hupah Finance, Inc., Term Loan B, 6.25%,
     1/21/19</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">380</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">379,764</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Iasis Healthcare LLC, Term Loan, 5.00%,
     5/03/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">369</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">367,063</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Immucor, Inc., Term Loan B, 7.25%, 8/17/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">873</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">878,704</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,298,618</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Providers
     &amp; Services &#151; 4.3%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CHS/Community Health Systems, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delayed Draw Term
     Loan, 3.25%, 7/25/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,718</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-Extended Term
     Loan, 2.49% &#150; 4.50%, 7/25/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">545</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">537,660</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ConvaTec, Inc., Term Loan, 5.75%, 12/22/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">594</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">592,331</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DaVita, Inc., Term Loan B, 4.50%, 10/20/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">792</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">793,814</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Emergency Medical Services, Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 5/25/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">813</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">810,117</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Harden Healthcare LLC:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan A, 8.50%,
     3/02/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">328</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">321,325</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche A Additional
     Term Loan, 7.75%, 3/02/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">523</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">512,432</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HCA, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B-1 Term
     Loan, 3.49%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">104</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">101,827</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B-2 Term
     Loan, 3.83%, 3/31/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,951</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Health Management Associates, Inc.,
     Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.50%, 11/16/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">275</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">273,212</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 9; Value: 13 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">FEBRUARY 29, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->21<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
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<A name="page_10"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="59%"></TD>
     <TD width="40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Diversified Income <BR>
     Strategies Fund, Inc. (DVF)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Providers
     &amp; Services (concluded)</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">inVentiv Health, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Combined
     Term Loan B, 6.50%, 8/04/16</FONT></TD>
     <TD STYLE="text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">579</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">556,606</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term
     Loan B-3, 6.75%, 5/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">496</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">476,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Medpace, Inc., Term Loan, 6.50% &#150; 7.25%,
     6/16/17</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">597</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">573,120</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vanguard Health Holding Co. II, LLC (Vanguard
     Health</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Systems, Inc.), Term
     Loan B, 5.00%, 1/29/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,675</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,697,188</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Technology
     &#151; 1.3%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IMS Health, Inc., Term Loan B, 4.50%,
     8/25/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">583</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">583,711</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kinetic Concepts, Inc., Term Loan B, 7.00%,
     5/04/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">765</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">777,431</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MedAssets, Inc., Term Loan, 5.25%, 11/16/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">395</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">394,666</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,755,808</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Hotels, Restaurants
     &amp; Leisure &#151; 5.6%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ameristar Casinos, Inc., Term Loan B, 4.00%,
     4/13/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">595</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">596,341</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Boyd Gaming Corp., Incremental Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.00%, 12/17/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">425</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">425,995</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Caesars Entertainment Operating Co.,
     Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term
     Loan B4, 9.50%, 10/31/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">637</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">655,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-3, 3.24%,
     1/28/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">103</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">96,899</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-3, 3.24%
     &#150; 3.47%, 1/28/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,556</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,395,108</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dunkin&#146; Brands, Inc., Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00% &#150; 5.25%,
     11/23/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">917</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">914,582</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Golden Living, Term Loan, 5.00%, 5/04/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">153</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">143,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OSI Restaurant Partners LLC:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Revolver, 2.56% &#150;
     2.79%, 6/14/13</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,378</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 2.56%,
     6/14/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,412</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SeaWorld Parks &amp; Entertainment,
     Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 8/17/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">657</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">656,133</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Six Flags Theme Parks, Inc., Tranche
     B Term Loan</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(First Lien), 4.25%,
     12/20/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">735</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">731,788</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Station Casinos, Inc., Term Loan B1, 3.24%,
     6/17/16</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">450,835</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Twin River Worldwide Holdings, Inc.,
     Term Loan,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.50%, 11/05/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">363</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">363,484</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,478,505</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Household Products
     &#151; 0.5%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Prestige
     Brands, Inc., Term Loan, 5.25%, 1/31/19</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">725</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">727,719</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Independent Power Producers
     &amp; Energy Traders &#151; 1.0%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The AES Corp., Term Loan, 4.25%, 6/01/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">993</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">991,508</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Texas Competitive Electric Holdings Co.
     LLC, Extended</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 4.76%,
     10/10/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">594</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">331,427</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,322,935</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Industrial Conglomerates
     &#151; 1.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sequa Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term
     Loan, 6.25%, 12/03/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">320</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">321,066</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 3.76%
     &#150; 3.84%, 12/03/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,597</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,579,316</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,900,382</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Insurance &#151;
     0.6%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CNO Financial Group, Inc., Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%,
     9/30/16</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">817</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">820,345</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Internet Software
     &amp; Services &#151; 0.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Web.com
     Group, Inc., Term Loan B, 7.00%, 10/27/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">575</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">561,507</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>IT Services &#151;
     5.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ceridian Corp., Term Loan, 3.24%, 11/10/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">694</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">656,062</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">First Data Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan
     B, 4.24%, 3/23/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,284</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,947,233</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-1, 2.99%,
     9/24/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">407</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">389,471</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-3, 2.99%,
     9/24/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">76,022</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">infoGROUP, Inc., Term Loan B, 5.75%,
     5/25/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">345</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">322,382</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">iPayment, Inc., Term Loan B, 5.75%,
     5/08/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">330</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">329,013</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NeuStar, Inc., Term Loan B, 5.00%, 11/08/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">434</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">434,997</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>IT Services (concluded)</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SunGard Data Systems, Inc. (Solar Capital
     Corp.),</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche
     B Term Loan, 3.99% &#150; 5.88%, 2/26/16</FONT></TD>
     <TD STYLE="text-align: left; width: 7%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">150</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">149,593</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TransUnion LLC, Term Loan B, 4.75%,
     2/12/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,457</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,458,472</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,763,245</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Leisure Equipment
     &amp; Products &#151; 0.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Eastman Kodak Co., DIP Term Loan B,
     8.50, 7/20/13</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">290</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">293,535</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EB Sports Corp., Term Loan, 11.50%,
     12/31/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">531</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">520,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">814,285</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Machinery &#151;
     1.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Terex Corp.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 6.00%,
     4/28/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85,735</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 5.50%,
     4/28/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">639</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">643,272</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tomkins LLC, Term Loan B, 4.25%, 9/29/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,349</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,347,453</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,076,460</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Media &#151; 18.4%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Acosta, Inc., Term Loan, 4.75%, 3/01/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">327</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">324,943</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Affinion Group, Inc., Term Loan B, 5.00%,
     10/10/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">761</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">711,790</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AMC Entertainment, Inc., Term Loan B3,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.25%, 2/22/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">350</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">345,341</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AMC Networks, Inc., Term Loan B, 4.00%,
     12/31/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">796</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">791,025</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Atlantic Broadband Finance LLC, Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 3/08/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">438</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">435,779</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bresnan Telecommunications Co., LLC,
     Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.50% &#150; 5.25%,
     12/14/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,361</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,356,717</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capsugel Healthcare Ltd., Term Loan,
     5.25%, 8/01/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">633</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">636,866</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Catalina Marketing Corp., Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.99%, 10/01/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">668</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">649,193</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cengage Learning Acquisitions, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 2.49%,
     7/03/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">160</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">148,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche 1 Incremental
     Term Loan, 7.50%, 7/03/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">477</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">461,868</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cequel Communications LLC, Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 2/11/19</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,155</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,143,184</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Charter Communications Operating LLC:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 7.25%,
     3/06/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,353</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 3.83%,
     9/06/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,021</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,012,963</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Clarke American Corp., Term Facility
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.74% &#150; 3.08%,
     6/30/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">197</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">179,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Clear Channel Communication:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 3.89%,
     1/28/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,565</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,284,349</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 3.89%,
     1/28/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">134,725</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cumulus Media, Inc., Term Loan, 5.75%,
     9/17/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">550</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">550,456</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gray Television, Inc., Term Loan B,
     3.77%, 12/31/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">680</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">671,972</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HMH Publishing Co., Ltd., Term Loan,
     6.51%, 6/12/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">718</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">443,796</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hubbard Broadcasting, Term Loan B (Second
     Lien),</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 4/28/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">498</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">497,913</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Intelsat Jackson Holdings SA, Tranche
     B Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 4/02/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,978</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,972,438</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interactive Data Corp., Term Loan B,
     4.50%, 2/12/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,414</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,411,130</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kabel Deutschland GmbH, Term Loan F,
     4.25%, 2/01/19</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">675</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">671,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Knology, Inc., Term Loan B, 4.00%, 8/18/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">320</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">317,338</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lavena Holding 3 GmbH (Prosiebensat.1
     Media AG),</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Facility B1, 3.81%,
     3/06/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">304</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">351,749</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">LIN Television Corp., Term Loan B, 5.00%,
     12/21/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">345</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">346,725</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Newsday LLC, Fixed Rate Term Loan, 10.50%,
     8/01/13</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,057,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nielsen Finance LLC, Class B Dollar
     Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 5/02/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">675</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">676,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sinclair Television Group, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term
     Loan B3, 1.00%, 10/28/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">140</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">139,343</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New Tranche B Term
     Loan, 4.00%, 10/28/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">579</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">576,149</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Univision Communications, Inc., Extended
     First Lien</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 4.49%,
     3/31/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,034</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">960,620</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UPC Broadband Holding B.V., Term Loan
     U,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.72%, 12/29/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">209</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">273,794</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 10; Value: 13 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->22<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">FEBRUARY 29, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_11"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="59%"></TD>
     <TD width="40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Diversified Income <BR>
     Strategies Fund, Inc. (DVF)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Media (concluded)</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UPC Financing Partnership:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term
     Loan, 4.75%, 12/29/17</FONT></TD>
     <TD STYLE="text-align: left; width: 7%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">415</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">414,274</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan T, 3.77%,
     12/30/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">88</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">86,860</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WC Luxco Sarl, Term Loan B3, 4.25%,
     3/15/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">218</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">217,837</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Weather Channel, Term Loan B, 4.25%,
     2/13/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,027</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,027,556</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,296,971</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Metals &amp; Mining
     &#151; 2.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Novelis, Inc., Incremental Term Loan
     B2,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 3/10/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,420</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,413,225</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SunCoke Energy, Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00% &#150; 5.25%,
     7/26/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">448</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">446,631</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Walter Energy, Inc., Term Loan B, 4.00%,
     4/02/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,566</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,558,824</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,418,680</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Multi-Utilities &#151;
     0.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FirstLight Power Resources, Inc., Term
     B Advance</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(First
     Lien), 2.75%, 11/01/13</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">174</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">163,466</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Multiline Retail
     &#151; 2.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99 Cents Only Stores, Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.00% &#150; 7.00%%,
     1/11/19</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">550</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">553,536</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dollar General Corp., Tranche B-2 Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.00% &#150; 3.33%,
     7/07/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">270</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">270,423</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hema Holding BV, Second Lien Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.69%, 1/05/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,400</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,622,741</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Neiman Marcus Group, Inc., New Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.75%, 5/16/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">183,520</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,630,220</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Oil, Gas &amp; Consumable
     Fuels &#151; 1.9%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EquiPower Resources Holdings LLC, Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.75%, 1/26/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">771</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">724,669</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gibson Energy, Term Loan B, 5.75%, 6/15/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">846</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">846,629</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Obsidian Natural Gas Trust, Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 11/02/15</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">914</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">919,049</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,490,347</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Paper &amp; Forest
     Products &#151; 0.2%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NewPage
     Corp., Term Loan, 8.00%, 3/07/13</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">201,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Pharmaceuticals &#151;
     3.9%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aptalis Pharma, Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.75% &#150; 5.50%,
     2/10/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,040</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,030,664</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Endo Pharmaceuticals Holdings, Inc.,
     Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 6/18/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">172</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">171,820</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pharmaceutical Product Development,
     Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%, 12/05/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">875</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">882,656</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Quintiles Transnational Corp., Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00%, 6/08/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">687</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">682,012</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">RPI Finance Trust, Term Loan Tranche
     2, 4.00%, 5/09/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">498</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">496,624</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Taminco Global Chemical Corp., New Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%, 2/15/19</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">305</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">306,254</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valeant Pharmaceuticals International,
     Add on</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 3.75%,
     2/08/19</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,115</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,111,521</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Warner Chilcott Corp.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-1, 4.25%,
     3/15/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">318</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">316,854</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-2, 4.25%,
     3/15/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">159</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">158,427</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,156,832</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Professional Services
     &#151; 1.3%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Booz Allen Hamilton, Inc., Tranche B
     Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 8/03/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">132</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">132,136</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Emdeon, Inc., Term Loan B, 6.75%, 11/02/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">925</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">935,573</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fifth Third Processing Solutions LLC,
     Term Loan B</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(First Lien), 4.50%,
     11/03/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">623</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">623,455</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,691,164</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Real Estate Investment
     Trusts (REITs) &#151; 0.7%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Istar
     Financial, Inc., Term Loan A1, 5.00%, 6/28/13</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">877</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: #000000 1px solid; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">873,021</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Real Estate Management
     &amp; Development &#151; 0.8%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Realogy Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Letter of
     Credit Term Loan,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.53%, 10/10/16 (h)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,809</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Synthetic
     Letter of Credit,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.25%, 10/10/13</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,194</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan,
     4.77%, 10/10/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,133</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,051,026</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,098,029</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Road &amp; Rail &#151;
     0.8%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Avis Budget Car Rental LLC, Incremental
     Term Loan,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%, 9/21/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">514</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">518,721</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">RailAmerica, Inc., Term Loan B, 4.00%,
     2/27/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">498,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,017,471</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Semiconductors &amp;
     Semiconductor Equipment &#151; 0.7%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Freescale Semiconductor, Inc., Extended
     Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.52%, 12/01/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">365</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">355,652</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NXP B.V., Term Loan A-2, 5.50%, 3/03/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">554</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">549,733</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">905,385</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Software &#151; 1.5%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Blackboard, Inc., Term Loan B, 7.50%,
     10/04/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">245</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">241,734</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Infor Enterprise Solutions Holdings,
     Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Delayed
     Draw Term Loan, 0.00%, 7/28/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,648</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Initial
     Term Loan, 0.00%, 7/28/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,114</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Initial
     Term Loan, 1.00%, 7/28/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">205</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">257,417</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rovi Corp., Tranche B Term Loan, 4.00%,
     2/07/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">496</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">495,630</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sophia, LP, Term Loan B, 6.25%, 7/19/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">555</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">560,783</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vertafore, Inc., Term Loan B, 5.25%,
     7/29/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">332</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">328,832</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,938,158</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Specialty Retail
     &#151; 4.6%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Academy Ltd., Term Loan, 6.00%, 8/03/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">900</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">899,901</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bass Pro Group LLC, Term Loan, 5.25%,
     6/13/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,721</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Burlington Coat Factory Warehouse Corp.,
     Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%, 2/23/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">407</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">406,937</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Claire&#146;s Stores, Inc., Term Loan B,
     2.99% &#150; 3.30%, 5/29/14</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">212</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,827</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">General Nutrition Centers, Inc., Term Loan
     B, 4.25%, 3/02/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">895</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">892,351</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Gymboree Corp., Term Loan B, 5.00%,
     2/23/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">310</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">291,477</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jo-Ann Stores, Inc., Term Loan B, 4.75%,
     3/16/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">283</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">278,770</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Michaels Stores, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan
     B3, 5.13%, 7/29/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">223</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">221,228</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-2, 5.13%,
     7/29/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">791</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">786,045</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Petco Animal Supplies, Inc., Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.50%, 11/24/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">992</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">987,447</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Toys &#145;R&#146; Us Delaware, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B1, 6.00%,
     9/01/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">813</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">813,815</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B2, 5.25%,
     5/25/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">199</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">196,144</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,039,663</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Wireless Telecommunication
     Services &#151; 2.3%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Crown Castle International Corp., Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 1/31/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">985</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">980,518</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MetroPCS Wireless, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-3, 4.00%
     &#150; 4.06%, 3/16/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">148</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">146,784</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B-2 Term
     Loan, 4.07% &#150; 4.13%, 11/03/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">501</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">496,666</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vodafone Americas Finance 2, Inc. (i):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 6.88%,
     8/11/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,211</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,211,003</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 6.25%,
     7/11/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">206</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">205,734</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,040,705</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Floating Rate Loan Interests &#151; 107.0%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">141,709,603</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 11; Value: 13 -->
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<A name="page_12"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="59%"></TD>
     <TD width="40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Diversified Income <BR>
     Strategies Fund, Inc. (DVF)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 62%"></TD>
     <TD STYLE="width: 6%"></TD>
     <TD STYLE="width: 14%"></TD>
    <TD STYLE="width: 5%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 8%; padding-right: 4"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Beneficial</B></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Interest</B></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Other
     Interests (j)</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Auto Components &#151;
     0.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Intermet
     Liquidating Trust, Class A (c)</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">256</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Chemicals &#151;
     0.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wellman
     Holdings, Inc., Litigation Trust Certificate</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,000</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: Black 1pt solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Financial
     Services &#151; 0.5%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JG Wentworth
     LLC Preferred Equity Interests (c)</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(k)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">620,752</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Hotels, Restaurants
     &amp; Leisure &#151; 0.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buffets,
     Inc. (c)</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">360</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Household Durables
     &#151; 0.9%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Stanley
     Martin, Class B Membership Units</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,206,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Other Interests &#151; 1.4%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,827,036</FONT></TD></TR>
<TR>
     <TD COLSPAN="6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="6" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Preferred
     Securities</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Preferred
     Stocks &#151; 0.0%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares</B></FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Financial
     Services &#151; 0.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ally
     Financial, Inc., 7.00% (a)</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,384</FONT></TD></TR>
<TR>
     <TD COLSPAN="6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="6" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Trust
     Preferred &#151; 0.1%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Financial
     Services &#151; 0.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GMAC
     Capital Trust I, Series 2, 8.13%, 2/15/40 (b)(f)</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73,913</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Preferred Securities &#151; 0.1%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">117,297</FONT></TD></TR>
<TR>
     <TD COLSPAN="6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="6" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Warrants
     (l)</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Hotels, Restaurants
     &amp; Leisure &#151; 0.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buffets
     Restaurants Holdings, Inc. (Expires 4/29/14)</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">304</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Software &#151; 0.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bankruptcy Management Solutions, Inc. (Expires
     9/29/17)</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">357</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HMH Holdings/EduMedia (Expires 3/09/17)</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,970</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Warrants &#151; 0.0%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Long-Term Investments</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(Cost
     &#151; $179,001,250) &#151; 129.6%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2pt solid; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">171,554,843</FONT></TD></TR>
<TR>
     <TD COLSPAN="6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="6" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Short-Term
     Securities</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BlackRock Liquidity Funds, TempFund,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Institutional Class,
     0.11% (m)(n)</FONT></TD>
     <TD COLSPAN="2" ALIGN="RIGHT" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,820,693</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,820,693</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Short-Term Securities</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(Cost
     &#151; $1,820,693) &#151; 1.4%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,820,693</FONT></TD></TR>
<TR>
     <TD COLSPAN="6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="6" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Options
     Purchased</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Contracts</B>&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Over-the-Counter
     Call Options &#151; 0.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Marsico Parent Superholdco LLC,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Strike Price USD 942.86,
     Expires 12/14/19,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Broker
     Goldman Sachs Bank USA</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Options Purchased</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(Cost
     &#151; $12,711) &#151; 0.0%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Investments (Cost &#151; $180,834,654)
     &#151; 131.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">173,375,536</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Liabilities in Excess of Other Assets
     &#151; (31.0)%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(40,975,549)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Net Assets &#151; 100.0%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: Black 2pt solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2pt solid; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">132,399,987</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(a)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Security
                                                                               exempt from registration pursuant to Rule 144A
                                                                               under the Securities Act of 1933. These securities
                                                                               may be resold in transactions exempt from registration
                                                                               to qualified institutional investors.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(b)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Variable
                                                                               rate security. Rate shown is as of report date.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(c)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-income
                                                                               producing security.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(d)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Restricted
                                                                               security as to resale. As of report date the Portfolio
                                                                               held 0.8% of its net assets, with a current value
                                                                               of $ 1,021,064 and an original cost of $ 189,176
                                                                               in this security.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(e)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Represents
                                                                               a zero-coupon bond. Rate shown reflects the current
                                                                               yield as of report date.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(f)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Convertible
                                                                               security.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(g)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Issuer
                                                                               filed for bankruptcy and/or is in default of interest
                                                                               payments.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(h)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">When-issued
                                                                               security. Unsettled when-issued transactions were
                                                                               as follows:</FONT></TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD COLSPAN="3" STYLE="text-align: center"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Counterparty</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Unrealized<BR>
     Appreciation<BR>
     (Depreciation)</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 45%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan Securities Inc.</FONT></TD>
     <TD STYLE="text-align: center; width: 31%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$21,809</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 5%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(630</FONT></TD>
     <TD STYLE="text-align: left; width: 9%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
     Stanley Co.</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$87,338</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,338</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(i)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Represents
                                                                               a payment-in-kind security which may pay interest/dividends
                                                                               in additional par/shares.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(j)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Other
                                                                               interests represent beneficial interests in liquidation
                                                                               trusts and other reorganization or private entities.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(k)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Amount
                                                                               is less than $500.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(l)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Warrants
                                                                               entitle the Fund to purchase a predetermined number
                                                                               of shares of common stock and are non-income producing.
                                                                               The purchase price and number of shares are subject
                                                                               to adjustment under certain conditions until the
                                                                               expiration date, if any.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(m)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investments
                                                                               in companies considered to be an affiliate of the
                                                                               Fund during the period, for purposes of Section
                                                                               2(a)(3) of the 1940 Act, were as follows:</FONT></TD>
</TR></TABLE>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="16%" align=center></TD>
     <TD width="16%" align=center></TD>
     <TD width="14%" align=center></TD>
     <TD width="16%" align=center></TD>
     <TD width="25%" align=center></TD>
     <TD width="12%" align=center></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Affiliate
     </B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares
     Held at<BR>
     August 31, 2011</B>&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Net<BR>
     Activity</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares
     Held at<BR>
     February 29, 2012</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Income</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BlackRock Liquidity</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 12px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Funds, TempFund,</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 12px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Institutional
     Class</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,820,693</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,820,693</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$ 221</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(n)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Represents
                                                                               the current yield as of report date.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Foreign
                                                                                  currency exchange contracts as of February 29,
                                                                                  2012 were as follows:</FONT></TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center; padding-right: 6"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center; padding-right: 6"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center; padding-right: 0; vertical-align: bottom"></TD>
     <TD COLSPAN="4" STYLE="text-align: center"></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Currency<BR>
     Purchased</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Currency<BR>
     Sold</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Counterparty</B></FONT></TD>
     <TD STYLE="text-align: center; padding-right: 0; vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Settlement<BR>
     Date</B></FONT></TD>
     <TD COLSPAN="4" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Unrealized<BR>
     Appreciation<BR>
     (Depreciation)</B></FONT></TD></TR>
<TR vAlign=bottom></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">983,369</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">641,500</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 0; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/11/12</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(36,904</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">189,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">250,572</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 0; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/18/12</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,282</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">258,076</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Royal Bank</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 0; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="4" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">of Scotland Plc</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 0; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/18/12</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,771</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,766,154</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,932,000</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citibank NA</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 0; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/18/12</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(140,914</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">397,919</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citibank
     NA</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 0; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/18/12</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,850</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 0; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(172,615</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
                                                                                  Fund compliance purposes, the Fund&#146;s industry
                                                                                  classifications refer to any one or more of
                                                                                  the industry sub-classifications used by one
                                                                                  or more widely recognized market indexes or
                                                                                  rating group indexes and/or as defined by Fund
                                                                                  management. These definitions may not apply
                                                                                  for purposes of this report, which may combine
                                                                                  such industry sub-classifications for reporting
                                                                                  ease.</FONT></TD>
</TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 12; Value: 13 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->24<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">FEBRUARY 29, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_13"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="59%"></TD>
     <TD width="40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(concluded)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Diversified Income <BR>
     Strategies Fund, Inc. (DVF)</B></FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fair
                                                                                  Value Measurements &#151; Various inputs are
                                                                                  used in determining the fair value of investments
                                                                                  and derivative financial instruments. These
                                                                                  inputs are categorized into a disclosure hierarchy
                                                                                  consisting of three broad levels for financial
                                                                                  statement purposes as follows:</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
                                                                                  1 &#151; unadjusted price quotations in active
                                                                                  markets/exchanges for identical assets and liabilities</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
                                                                                  2 &#151; other observable inputs (including,
                                                                                  but not limited to: quoted prices for similar
                                                                                  assets or liabilities in markets that are active,
                                                                                  quoted prices for identical or similar assets
                                                                                  or liabilities in markets that are not active,
                                                                                  inputs other than quoted prices that are observable
                                                                                  for the assets or liabilities (such as interest
                                                                                  rates, yield curves, volatilities, prepayment
                                                                                  speeds, loss severities, credit risks and default
                                                                                  rates) or other market-corroborated inputs)</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
                                                                                  3 &#151; unobservable inputs based on the best
                                                                                  information available in the circumstances,
                                                                                  to the extent observable inputs are not available
                                                                                  (including the Fund&#146;s own assumptions used
                                                                                  in determining the fair value of investments
                                                                                  and derivative financial instruments)</FONT></TD>
</TR></TABLE>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 20pt; text-indent: 0pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Changes
in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization
of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment
and derivative financial instrument and does not necessarily correspond to Fund&#146;s perceived risk of investing in those securities.
For information about the Fund&#146;s policy regarding valuation of investments and derivative financial instruments and other
significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The following tables summarize the inputs
used as of February 29, 2012 in determining the fair valuation of Fund&#146;s investments and derivative financial instruments:</FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valuation
    Inputs</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
    1</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
    2</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
    3</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Assets:</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investments:</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Long-Term</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investments:</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset-Backed</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 40%; text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,258,740</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,717,525</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,976,265</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Common Stocks</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">434,787</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,021,064</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,467,869</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,923,720</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,831,962</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">168,960</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,000,922</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Loan Interests</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">133,256,863</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,452,740</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">141,709,603</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Other Interests</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,827,036</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,827,036</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Preferred</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73,913</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,384</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">117,297</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Short-Term</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,820,693</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,820,693</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,329,393</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">156,412,013</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,634,130</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">173,375,536</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="17"></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="17"></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valuation
    Inputs</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
                                                                                               1</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
                                                                                                                         2</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
                                                                                                                         3</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="17"></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Derivative Financial Instruments<SUP>1</SUP></FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Assets:</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Foreign currency</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">exchange</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">contracts</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,053</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,053</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Liabilities:</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Foreign currency</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">exchange</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">contracts</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(179,668</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(179,668</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(172,615</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(172,615</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>1</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Derivative
                                                                                        financial instruments are foreign currency
                                                                                        exchange contracts, which are valued at
                                                                                        the unrealized appreciation/depreciation
                                                                                        on the instrument.</FONT></TD>
</TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: 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>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset-<BR>
    Backed<BR> Securities</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Common<BR>
    Stocks</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate<BR>
    Bonds</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating
    Rate<BR> Loan Interests</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Other<BR>
    Interests</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Warrants</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Assets/Liabilities:</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 37%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Balance, as of <BR>
    &nbsp;&nbsp;&nbsp;August     31, 2011</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 5%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,753,115</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 5%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,701,248</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 5%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,621,040</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 5%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,355,482</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 5%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,550,707</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 5%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 5%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,981,599</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Accrued discounts/premiums</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,568</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,158</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,125</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,851</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Net realized gain (loss)</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,599</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,483,821</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">350,703</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">553,994</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,573,525</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Net change in unrealized<BR> &nbsp;&nbsp;&nbsp;&nbsp;appreciation/depreciation<SUP>2</SUP></FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(57,158</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(381,072</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,532,042</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(90,580</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(205,745</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,797,480</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Purchases</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,367</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">176,280</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,832</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">204,479</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sales</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,175</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,501,459</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(586,949</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,081,752</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,177,335</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Transfers in<SUP>3</SUP></FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130,902</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,161,572</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,292,474</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Transfers out<SUP>3</SUP></FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,926,893</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,926,893</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Balance, as of <BR>
    &nbsp;&nbsp;&nbsp;&nbsp;February 29, 2012</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,717,525</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,467,869</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">168,960</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,452,740</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,827,036</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,634,130</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>2</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: 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 investments
                                                                                        still held on February 29, 2012 was $(185,417).</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>3</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
                                                                                        Fund&#146;s policy is to recognize transfers
                                                                                        in and transfers out as of the beginning
                                                                                        of the period of the event or the change
                                                                                        in circumstances that caused the transfer.</FONT></TD>
</TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">A reconciliation of Level 3 investments and
derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial
instruments at the beginning and/or end of the year in relation to net assets.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 13; Value: 13 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">FEBRUARY 29, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->25<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_14"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="51%"></TD>
     <TD width="48%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments</FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Floating Rate Income Strategies Fund, Inc. (FRA)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">February 29, 2012 (Unaudited)</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Asset-Backed
     Securities</B></FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-indent: 18px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ARES CLO Funds, Series 2005-10A, Class
     B, 0.95%,</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left; width: 67%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/17
     (a)(b)</FONT></TD>
    <TD STYLE="width: 7%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;USD</FONT></TD>
     <TD STYLE="text-align: right; width: 9%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"> 750</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">694,035</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ballyrock CDO Ltd., Series 2006-1A,
     Class B, 0.84%,</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/28/19 (a)(b)</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">837,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canaras Summit CLO Ltd., Series 2007-1A,
     Class B,</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.04%, 6/19/21 (a)(b)</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">750</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">637,718</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chatham Light CLO Ltd., Series 2005-2A,
     Class A2,</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.94%, 8/03/19 (a)(b)</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">857,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Flagship CLO, Series 2006-1A, Class
     B, 0.91%,</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/20/19 (a)(b)</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,304</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,007,340</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Franklin CLO Ltd., Series 6A, Class
     B, 0.97%,</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/09/19 (a)(b)</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,910</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,623,118</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fraser Sullivan CLO Ltd., Series 2006-2A,
     Class B,</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.96%, 12/20/20 (a)(b)</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">425,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gannett Peak CLO Ltd., Series 2006-1X,
     Class A2,</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.92%, 10/27/20 (b)</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">575</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">464,313</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goldman Sachs Asset Management CLO Plc,</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-1A, Class
     B, 1.00%, 8/01/22 (a)(b)</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,255</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,004,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Landmark CDO Ltd., Series 2006-8A, Class
     B, 0.92%,</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/19/20 (a)(b)</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,075</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">899,968</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MAPS CLO Fund LLC, Series 2005-1A, Class
     C,</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.52%, 12/21/17 (a)(b)</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">575</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">518,075</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Portola CLO Ltd., Series 2007-1X, Class
     B1, 1.95%,</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/15/21 (b)</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">765</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">655,987</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">T2 Income Fund CLO Ltd., Series 2007-1A,
     Class B,</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.17%,
     7/15/19 (a)(b)</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">655</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">568,049</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Asset-Backed Securities &#151; 3.8%</B></FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,192,603</FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Common
     Stocks (c)</B></FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Auto Components &#151;
     0.8%</B></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delphi Automotive Plc (180-Day lock)
     (acquired</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/11,
     cost $396,662) (d)</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">69,876</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,180,134</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Chemicals &#151;
     0.0%</B></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GEO
     Specialty Chemicals, Inc. (a)</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,117</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,034</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Electrical Equipment
     &#151; 0.0%</B></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Medis
     Technologies Ltd.</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,654</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">358</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Paper &amp; Forest
     Products &#151; 0.2%</B></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ainsworth Lumber Co. Ltd. (a)</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">152,951</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">241,148</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ainsworth Lumber Co. Ltd.</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">133,089</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">209,833</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Western Forest Products, Inc.</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">84,448</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">81,934</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">532,915</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Software &#151; 0.0%</B></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HMH
     Holdings/EduMedia</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">92,606</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,152</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Common Stocks &#151; 1.0%</B></FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,742,593</FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Corporate
     Bonds</B></FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Airlines &#151; 0.1%</B></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American Airlines Pass-Through Trust,
     Series 2011-2,</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Class A, 8.63%, 4/15/23</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT>USD </TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">276</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">292,560</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delta Air Lines, Inc., Series 2009-1-B,
     9.75%,</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/17/18</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">111</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">117,326</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">409,886</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Auto Components &#151;
     0.9%</B></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Icahn Enterprises LP:</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.75%, 1/15/16</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,535</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,607,912</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.00%, 1/15/18 (a)</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">680</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">720,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,328,712</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Chemicals &#151;
     1.3%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CF Industries, Inc., 6.88%,
     5/01/18</FONT></TD>
     <TD STYLE="text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">905</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,065,637</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GEO Specialty Chemicals, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.50%, 3/31/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">857</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,019,815</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.00%, 3/31/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">844</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">844,160</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ineos Finance Plc, 8.38%, 2/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">230</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lyondell Chemical Co., 11.00%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">292</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">320,075</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">LyondellBasell Industries NV, 6.00%,
     11/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">95</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">104,263</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,598,325</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Commercial Banks
     &#151; 0.2%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CIT Group, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 5/01/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">213</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">213,022</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 5/02/17 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">250</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">250,313</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">463,335</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Commercial Services
     &amp; Supplies &#151; 0.3%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ARAMARK Corp., 4.05%, 2/01/15 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">134,494</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AWAS Aviation Capital Ltd., 7.00%, 10/17/16
     (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">700</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">731,182</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Brickman Group Holdings, Inc., 9.13%,
     11/01/18 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">890,376</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Consumer Finance
     &#151; 0.3%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Inmarsat
     Finance Plc, 7.38%, 12/01/17 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">775</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">829,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Containers &amp;
     Packaging &#151; 0.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Graphic Packaging International, Inc.,
     9.50%, 6/15/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">220</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OI European Group BV, 6.88%, 3/31/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">143</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198,140</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Smurfit Kappa Acquisitions (a):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.25%, 11/15/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">104</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">148,258</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.75%, 11/15/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">338</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">485,217</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,076,365</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Financial
     Services &#151; 1.6%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ally Financial, Inc., 2.73%, 12/01/14
     (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,600</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,433,423</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Axcan Intermediate Holdings, Inc., 12.75%,
     3/01/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">133</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">141,811</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reynolds Group Issuer, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.75%, 10/15/16 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">597</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">635,805</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.75%, 10/15/16 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">400</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">566,228</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.75%, 10/15/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">101,921</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.88%, 2/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">395</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">418,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,297,888</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Telecommunication
     Services &#151; 0.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ITC Deltacom, Inc., 10.50%, 4/01/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">430</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">448,275</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Qwest Communications International,
     Inc., 8.00%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/01/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">600</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">644,063</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,092,338</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Equipment
     &amp; Supplies &#151; 0.5%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DJO Finance LLC:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.88%, 11/15/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,175</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,195,562</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.75%, 4/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">210</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">180,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,376,162</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Providers
     &amp; Services &#151; 0.5%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HCA, Inc., 6.50%, 2/15/20</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">865</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">927,712</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tenet Healthcare Corp., 8.88%, 7/01/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">380</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">433,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,360,912</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Technology
     &#151; 0.8%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IMS
     Health, Inc., 12.50%, 3/01/18 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,860</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,213,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Hotels, Restaurants
     &amp; Leisure &#151; 0.6%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Little Traverse Bay Bands of Odawa Indians,
     9.00%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/31/20 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">373</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">328,240</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MGM Resorts International:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.38%, 5/15/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">865</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">983,937</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11.13%, 11/15/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">400</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">455,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,767,177</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 14; Value: 13 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->26<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">FEBRUARY 29, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_15"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD STYLE="width: 59%"></TD>
     <TD STYLE="width: 40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Floating Rate Income <BR>
     Strategies Fund, Inc. (FRA)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 30px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Household Durables
     &#151; 0.5%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Beazer
     Homes USA, Inc., 12.00%, 10/15/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,200</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: #000000 1px solid; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,308,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Independent Power Producers
     &amp; Energy Traders &#151; 1.9%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Calpine Corp., 7.25%, 10/15/17 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,180</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,250,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energy Future Holdings Corp., 10.00%,
     1/15/20</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">935</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,010,969</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energy Future Intermediate Holding Co. LLC,
     10.00%,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/01/20</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,760</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,998,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,259,819</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Industrial Conglomerates
     &#151; 0.6%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sequa
     Corp., 13.50%, 12/01/15 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,557</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,662,456</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Machinery &#151;
     0.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UR
     Financing Escrow Corp., 5.75%, 7/15/18 (a)(e)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">175</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">179,813</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Media &#151; 2.8%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AMC Networks, Inc., 7.75%, 7/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">225</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">250,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCH II LLC, 13.50%, 11/30/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,050</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,207,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Checkout Holding Corp., 10.68%, 11/15/15
     (a)(f)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">665</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">299,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Clear Channel Worldwide Holdings, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.25%, 12/15/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">401</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">439,095</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series B, 9.25%,
     12/15/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,834</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,017,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CSC Holdings LLC, 8.50%, 4/15/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">420</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">466,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NAI Entertainment Holdings LLC, 8.25%, 12/15/17
     (a)</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">615</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">676,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unitymedia Hessen GmbH &amp; Co. KG,
     8.13%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/01/17 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,000</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,170,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,526,820</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Multiline Retail
     &#151; 0.2%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dollar
     General Corp., 11.88%, 7/15/17 (b)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">445</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">488,392</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Oil, Gas &amp; Consumable
     Fuels &#151; 0.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Coffeyville
     Resources LLC, 9.00%, 4/01/15 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">275</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">294,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Paper &amp; Forest
     Products &#151; 0.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15
     (a)(g)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">562</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">409,981</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Longview Fibre Paper &amp; Packaging,
     Inc., 8.00%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/01/16 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">340</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">349,350</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Verso Paper Holdings LLC, Series B, 4.30%,
     8/01/14 (b)</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">340</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">235,450</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">994,781</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Pharmaceuticals &#151;
     0.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valeant
     Pharmaceuticals International, 6.50%, 7/15/16 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">395</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">402,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Real Estate Management
     &amp; Development &#151; 0.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Realogy
     Corp., 7.63%, 1/15/20 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">365</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">376,862</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Wireless Telecommunication
     Services &#151; 2.2%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cricket Communications, Inc., 7.75%,
     5/15/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,700</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,810,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Digicel Group Ltd. (a):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.13%, 1/15/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">278</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">283,560</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.25%, 9/01/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">315</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">333,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">iPCS, Inc., 2.67%, 5/01/13 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,500</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,443,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sprint Nextel Corp. (a):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.00%, 11/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">780</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">869,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 3/01/20</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,195</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,214,419</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,955,829</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Corporate Bonds &#151; 16.9%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,154,048</FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Aerospace &amp; Defense
     &#151; 1.6%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DynCorp International, Term Loan B,
     6.25% &#150; 6.75%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/07/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">757</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">754,760</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SI Organization, Inc., New Term Loan B,
     4.50%, 11/22/16</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">836</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">801,310</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TransDigm, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Add on Term Loan
     B2, 4.00%, 2/14/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">445</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">445,369</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan (First
     Lien), 4.00%, 2/14/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,782</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,780,432</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wesco Aircraft Hardware Corp., Term Loan
     B, 4.25%, 4/07/17</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">650</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">649,195</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,431,066</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Airlines &#151; 0.8%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delta Air Lines, Inc., Credit New Term
     Loan B, 5.50%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/20/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,221</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: #000000 1px solid; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,167,640</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Auto Components &#151;
     2.5%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Allison Transmission, Inc., Term Loan
     B, 2.75%, 8/07/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,801</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,769,342</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Autoparts Holdings Ltd., First Lien
     Term Loan, 6.50%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/28/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,446</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,449,991</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Federal-Mogul Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 2.19%
     &#150; 2.20%, 12/29/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">597</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">570,622</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 2.19%
     &#150; 2.20%, 12/28/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">304</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">291,134</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GPX International Tire Corp. (c)(h):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.00%, 3/31/12</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">549</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.25%, 3/31/12</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Schaeffler AG, Term Loan C2, 6.00%,
     1/27/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">990</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">992,891</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UCI International, Inc., Term Loan,
     5.50%, 7/26/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">743</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">744,356</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,818,336</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Biotechnology &#151;
     0.7%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Grifols
     SA, Term Loan B, 4.50%, 6/1/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,890</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,887,596</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Building Products
     &#151; 3.0%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Armstrong World Industries, Inc., Term
     Loan B, 4.00%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/09/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,166</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,161,453</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CPG International, Inc., Term Loan B,
     6.00%, 2/18/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,782</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,683,990</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goodman Global Holdings, Inc., Initial
     Term Loan</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(First Lien), 5.75%,
     10/28/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,421</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,442,947</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Momentive Performance Materials, Inc.
     (Blitz 06-103</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GmbH), Tranche B-2B
     Term Loan, 4.08%, 5/05/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">645</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">813,276</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,101,666</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Capital Markets &#151;
     1.8%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American Capital Ltd., Term Loan B,
     7.50%, 12/31/13</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">138</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">138,317</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HarbourVest Partners, Term Loan (First
     Lien), 6.25%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,677</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,677,706</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nuveen Investments, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(First Lien) Term
     Loan, 3.30% &#150; 3.58%, 11/13/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">897</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">891,243</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan,
     5.74% &#150; 5.83%, 5/12/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,753</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,748,176</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term
     Loan, 7.25%, 5/13/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">345</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">347,415</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,802,857</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Chemicals &#151;
     4.8%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American Rock Salt Holdings LLC, Term
     Loan B, 5.50%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/25/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,216</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,129,842</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ashland, Inc., Term Loan B, 3.75%, 8/23/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">932</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">935,741</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chemtura Corp., Exit Term Loan B, 5.50%,
     8/27/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,400</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,404,382</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gentek, Inc., Term Loan B, 5.00% &#150;
     5.75%, 10/06/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,068</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,060,636</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MDI Holdings LLC, Tranche C Term Loan,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.76%, 4/11/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">503</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">652,479</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nexeo Solutions LLC, Term Loan B, 5.00%,
     9/08/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,191</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,172,635</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Polyone Corp., Term Loan, 5.00%, 12/20/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">405</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">405,608</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PQ Corp., Original Term Loan (First
     Lien),</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.50%, 7/30/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,590</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,550,821</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Styron Sarl LLC, Term Loan B, 6.00%
     &#150; 6.75%, 8/02/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,106</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">996,999</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tronox Worldwide LLC:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delayed Draw Term
     Loan, 1.00%, 2/09/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">380</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">379,931</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 4.25%,
     2/08/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,395</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,393,081</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Univar, Inc., Term Loan B, 5.00%, 6/30/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,030</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,013,246</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,095,401</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Commercial Services
     &amp; Supplies &#151; 3.8%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Altegrity, Inc., Tranche D Term Loan,
     7.75%, 2/20/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,627</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,624,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ARAMARK Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Letter of Credit,
     3.55%, 7/26/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,482</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 3.83%,
     7/26/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">560</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">555,162</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AWAS Finance Luxembourg Sarl, Term Loan
     B, 5.25%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/10/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">849</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">846,096</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delos Aircraft, Inc., Term Loan B2,
     7.00%, 3/17/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,875</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,877,006</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">International Lease Finance Corp., Term
     Loan B1,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.75%, 3/17/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">75</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">75,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">KAR Auction Services, Inc., Term Loan B,
     5.00%, 5/19/17</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,587</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,583,766</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
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<A name="page_16"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD STYLE="width: 59%"></TD>
     <TD STYLE="width: 40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Floating Rate Income <BR>
     Strategies Fund, Inc. (FRA)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Commercial Services &amp;
     Supplies (concluded)</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Synagro Technologies, Inc., Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.25%
     &#150; 2.26%, 4/02/14</FONT></TD>
     <TD STYLE="text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,512</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,353,043</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Volume Services America, Inc., Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.50% &#150; 10.75%,
     9/16/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">988</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">991,618</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">West Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 18px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B4,
     4.49% &#150; 4.78%, 7/15/16</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">152</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">152,408</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 18px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B5,
     4.49% &#150; 4.51%, 7/15/16</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">294</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">294,270</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,392,576</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Communications Equipment
     &#151; 1.2%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Avaya, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B1, 3.24%,
     10/24/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,151</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,126,204</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B3, 4.99%,
     10/26/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">680</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">659,443</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CommScope, Inc., Term Loan B, 5.00%, 1/14/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,587</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,585,838</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,371,485</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Construction &amp;
     Engineering &#151; 0.9%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BakerCorp. International, Inc., Term Loan
     B, 5.00%,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/01/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">861</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">859,384</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Safway Services, LLC, First Out Tranche
     Loan, 9.00%,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,700</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,700,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,559,384</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Consumer Finance
     &#151; 1.6%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Springleaf
     Finance Corp, Term Loan, 5.50%, 5/10/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,665</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,252,661</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Containers &amp;
     Packaging &#151; 0.7%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Berry Plastics Holding Corp., Term Loan
     C, 2.25%,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/03/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">275</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">267,778</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sealed Air Corp., Term Loan B, 4.75%, 10/03/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,566</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,581,279</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,849,057</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Consumer
     Services &#151; 3.0%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Coinmach Service Corp., Term Loan, 3.41%,
     11/20/14</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,465</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,270,482</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Laureate Education, Inc., Extended Term
     Loan, 5.25%,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,765</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,594,143</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ServiceMaster Co.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 18px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delayed Draw Term
     Loan, 2.75%, 7/24/14</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">216</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">213,607</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 18px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 2.77%
     &#150; 3.03%, 7/24/14</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,171</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,144,976</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,223,208</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Financial
     Services &#151; 1.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reynolds Group Holdings, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 18px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B Term
     Loan, 6.50%, 2/09/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,404</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,416,641</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 18px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche C Term
     Loan, 5.25% &#150; 6.50%, 8/09/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,368</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,392,986</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,809,627</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Telecommunication
     Services &#151; 4.2%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hawaiian Telcom Communications, Inc., Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 2/25/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,095</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,092,262</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Integra Telecom Holdings, Inc., Term Loan,
     9.25%, 4/15/15</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,601</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,408,550</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 3 Financing, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B2, 5.75%,
     9/03/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,450</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,473,736</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B3, 5.75%,
     8/31/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,475</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,485,148</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 18px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche A Term
     Loan, 2.50% &#150; 2.83%, 3/13/14</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,525</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,483,337</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US Telepacific Corp., Term Loan B, 5.75%,
     2/23/17</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,490</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,411,690</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,354,723</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Electronic Equipment,
     Instruments &amp; Components &#151; 1.2%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CDW LLC (FKA CDW Corp.), Extended Term Loan,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 7/14/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,766</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,725,940</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Flextronics International Ltd., Delayed
     Draw:</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan A-2, 2.49%,
     10/01/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,558</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan A-3, 2.52%,
     10/01/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,193</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sensata Technologies Finance Co. LLC, Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 5/11/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,545</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,541,272</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,349,963</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Energy Equipment
     &amp; Services &#151; 2.9%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCS Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental
     Term Loan, 6.50%, 10/17/14</FONT></TD>
     <TD STYLE="text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">765</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">765,765</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 3.24%,
     11/14/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,609</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,556,820</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dynegy Midwest Generation LLC, Coal
     Co. Term Loan,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.25%, 8/04/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">937</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">931,388</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dynegy Power LLC, Gas Co. Term Loan,
     9.25%, 8/04/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,258</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,297,470</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MEG Energy Corp., Term Loan B, 4.00%,
     3/16/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,342</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,334,775</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,886,218</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Food &amp; Staples
     Retailing &#151; 1.9%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AB Acquisitions UK Topco 2 Ltd., Facility
     B1, 3.60%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/09/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,825</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,651,930</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B&amp;G Foods, Inc., Term Loan B, 4.50%,
     11/30/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">375</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">375,844</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bolthouse Farms, Inc., Term Loan (First
     Lien),</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.50% &#150; 5.75%,
     2/11/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">481</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">480,893</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S. Foodservice, Inc., Term Loan B,
     2.74% &#150; 2.75%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/03/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,709</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,648,835</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,157,502</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Food Products &#151;
     3.2%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Advance Pierre Foods:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan (First
     Lien),7.00%, 9/30/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,946</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,945,709</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan (Second
     Lien), 11.25%, 9/29/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,205</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,206,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Del Monte Corp., Term Loan, 4.50%, 3/08/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,544</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,494,457</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Michaels Foods Group, Inc., Term Loan B,
     4.25%, 2/23/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">281</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">280,974</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pinnacle Foods Finance LLC:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B Term Loan,
     2.76% &#150; 3.08%, 4/02/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">89,030</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche D Term Loan,
     6.00% &#150; 6.50%, 4/02/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,031</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,036,589</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Solvest Ltd. (Dole):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B-2 Term
     Loan, 5.00% &#150; 6.00%, 7/06/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">555</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">557,309</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche C-2 Term
     Loan, 5.00% &#150; 6.00%, 7/06/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,032</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,035,001</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,645,069</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Equipment
     &amp; Supplies &#151; 1.9%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Biomet, Inc., Term Loan B, 3.24% &#150;
     3.57%, 3/25/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">681</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">673,850</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DJO Finance LLC, Term Loan, 3.24%, 5/20/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,070</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,055,062</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hupah Finance, Inc., Term Loan B, 6.25%,
     1/21/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">775</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">774,519</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Iasis Healthcare LLC, Term Loan, 5.00%,
     5/03/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">763</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">758,449</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Immucor, Inc., Term Loan B, 7.25%, 8/17/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,800</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,812,641</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,074,521</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Providers
     &amp; Services &#151; 4.7%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CHS/Community Health Systems, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-Extended Delayed
     Draw Term Loan, 3.25%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/25/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,424</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-Extended Term
     Loan, 2.49% &#150; 4.50%, 7/25/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,397</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,378,212</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ConvaTec, Inc., Term Loan, 5.75%, 12/22/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,287</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,283,383</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DaVita, Inc., Term Loan B, 4.50%, 10/20/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,683</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,686,854</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Emergency Medical Services, Term Loan, 5.25%,
     5/25/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,680</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,675,032</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Harden Healthcare LLC:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan A, 8.50%,
     3/02/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">656</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">642,650</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche A Additional
     Term Loan, 7.75%, 3/02/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,070</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,049,074</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HCA, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B-2 Term
     Loan, 3.83%, 3/31/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">787</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">776,468</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B-3 Term
     Loan, 3.49%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">306</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300,911</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Health Management Associates, Inc.,
     Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.50%, 11/16/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">580</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">576,230</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">inVentiv Health, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Combined Term Loan,
     6.50%, 8/04/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,317</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,266,174</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term
     Loan B-3, 6.75%, 5/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">898</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">862,535</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Medpace, Inc., Term Loan, 6.50% &#150;
     7.25%, 6/16/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,244</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,194,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vanguard Health Holding Co. II, LLC
     (Vanguard Health</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Systems, Inc.), Term
     Loan B, 5.00%, 1/29/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">134,326</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,897,273</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Technology
     &#151; 1.3%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IMS Health, Inc., Term Loan B, 4.50%,
     8/25/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,201</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,201,217</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kinetic Concepts, Inc., Term Loan B,
     7.00%, 5/04/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,580</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,605,675</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MedAssets, Inc., Term Loan, 5.25%, 11/16/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">775</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">775,062</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,581,954</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 16; Value: 13 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->28<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">FEBRUARY 29, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_17"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD STYLE="width: 59%"></TD>
     <TD STYLE="width: 40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Floating Rate Income <BR>
     Strategies Fund, Inc. (FRA)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Hotels, Restaurants
     &amp; Leisure &#151; 5.7%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ameristar Casinos, Inc.,
     Term Loan B, 4.00%, 4/13/18</FONT></TD>
     <TD STYLE="text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,240</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,242,408</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Boyd Gaming Corp., Incremental Term
     Loan, 6.00%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/17/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">860</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">862,012</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Caesars Entertainment Operating Co.,
     Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term
     Loan B4, 9.50%, 10/31/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,105</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,137,070</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B1, 3.24%,
     1/28/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">402</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">377,035</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B3, 3.24%
     &#150; 3.47%, 1/28/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,345</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,008,601</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dunkin' Brands, Inc., Term Loan B, 4.00%
     &#150; 5.25%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/23/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,933</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,927,077</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Golden Living, Term Loan, 5.00%, 5/04/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">325</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">305,566</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OSI Restaurant Partners LLC:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Revolver, 2.56% &#150;
     2.79%, 6/14/13</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,194</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 2.56%,
     6/14/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">96</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">93,266</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Seaworld Parks &amp; Entertainment,
     Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 8/17/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,351</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,349,939</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Six Flags Theme Parks, Inc., Tranche
     B Term Loan</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(First Lien), 4.25%,
     12/20/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,510</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,503,401</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Station Casinos, Inc., Term Loan B1,
     3.24%, 6/17/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,025</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">924,212</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Twin River Worldwide Holdings, Inc.,
     Term Loan, 8.50%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/05/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">757</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">757,635</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,497,416</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Household Products
     &#151; 0.5%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Prestige
     Brands, Inc., Term Loan, 5.25%, 1/31/19</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,500</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,505,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Independent Power
     Producers &amp; Energy Traders &#151; 1.0%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The AES Corp., Term Loan, 4.25%, 6/01/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,985</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,983,015</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Texas Competitive Electric Holdings
     Co. LLC, Extended</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 4.76%,
     10/10/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,238</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">690,554</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,673,569</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Industrial Conglomerates
     &#151; 1.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sequa Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term
     Loan, 6.25%, 12/03/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">660</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">662,198</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 3.76%
     &#150; 3.84%, 12/03/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,318</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,281,806</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,944,004</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Insurance &#151;
     0.6%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CNO
     Financial Group, Inc., Term Loan, 6.25%, 9/30/16</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,650</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,657,780</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Internet Software
     &amp; Services &#151; 0.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Web.com
     Group, Inc., Term Loan B, 7.00%, 10/27/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,185</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,156,897</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>IT Services &#151;
     5.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ceridian Corp., Term Loan, 3.24%, 11/10/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,231</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,164,760</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">First Data Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan
     B, 4.24%, 3/23/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,706</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,017,255</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-1, 2.99%,
     9/24/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">870</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">831,787</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-3, 2.99%,
     9/24/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">109,593</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">infoGROUP, Inc., Term Loan B, 5.75%,
     5/25/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">707</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">661,297</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">iPayment, Inc., Term Loan B, 5.75%,
     5/08/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">681</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">677,936</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NeuStar, Inc., Term Loan B, 5.00%, 11/08/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">888</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">889,994</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SunGard Data Systems, Inc. (Solar Capital
     Corp.),</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B Term Loan,
     3.99% &#150; 5.88%, 2/26/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">307</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">306,311</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TransUnion LLC, Term Loan B, 4.75%,
     2/12/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,211</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,213,592</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,872,525</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Leisure Equipment
     &amp; Products &#151; 0.2%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Eastman
     Kodak Co., DIP Term Loan B, 1.00%, 7/20/13</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">595</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">602,253</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Machinery &#151;
     1.5%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Terex Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 6.00%,
     4/28/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">178,065</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 5.50%,
     4/28/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,313</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,321,793</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tomkins LLC, Term Loan B, 4.25%, 9/29/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,697</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,694,905</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,194,763</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Media &#151; 17.9%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Acosta, Inc., Term Loan, 4.75%, 3/01/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">675</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">669,616</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Affinion Group, Inc., Term Loan B, 5.00%,
     10/10/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,596</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,492,930</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AMC Entertainment, Inc., Term Loan B3, 4.25%,
     2/22/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">700</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">690,683</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AMC Networks, Inc., Term Loan B, 4.00%,
     12/31/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,692</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,680,928</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Media (concluded)</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Atlantic Broadband Finance LLC, Term
     Loan B, 4.00%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/08/16</FONT></TD>
     <TD STYLE="text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">941</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">936,924</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bresnan Telecommunications Co., LLC,
     Term Loan,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.50% &#150; 5.25%,
     12/14/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,896</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,886,107</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capsugel Healthcare Ltd., Term Loan,
     5.25%, 8/01/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,297</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,304,154</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Catalina Marketing Corp., Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.99%, 10/01/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,376</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,337,148</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cengage Learning Acquisitions, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 2.49%,
     7/03/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">993</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">921,743</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche 1 Incremental
     Term Loan, 7.50%, 7/03/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">763</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">738,243</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cequel Communications LLC, Term Loan
     B, 4.00%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/11/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,385</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,360,601</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Charter Communications Operating LLC:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 7.25%,
     3/06/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,022</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 3.83%,
     9/06/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,124</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,107,508</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Clarke American Corp., Term Facility
     B, 2.74% &#150; 3.08%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/30/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">439</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">401,288</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Clear Channel Communications:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 3.89%,
     1/28/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,600</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,133,769</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 3.89%,
     1/28/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">345</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">273,413</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cumulus Media, Inc., Term Loan, 5.75%,
     9/17/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,400</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,401,162</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gray Television, Inc., Term Loan B,
     3.77%, 12/31/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,395</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,378,254</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HMH Publishing Co. Ltd., Term Loan,
     6.51%, 6/12/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,441</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">890,248</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hubbard Broadcasting, Term Loan B (Second
     Lien),</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 4/28/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">995</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">995,826</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Intelsat Jackson Holdings SA, Tranche
     B Term Loan,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 4/02/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,451</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,440,283</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interactive Data Corp., Term Loan B,
     4.50%, 2/12/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,903</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,896,531</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kabel Deutschland GmbH, Term Loan F,
     4.25%, 2/01/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,390</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,383,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Knology, Inc., Term Loan B, 4.00%, 8/18/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">616</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">610,038</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lavena Holding 4 GmbH (Prosiebensat.1
     Media AG):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 3.81%,
     3/06/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">304</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">351,749</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 4.06%,
     3/04/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">304</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">353,773</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">LIN Television Corp., Term Loan B, 5.00%,
     12/21/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">705</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">708,525</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Newsday LLC, Fixed Rate Term Loan, 10.50%,
     8/01/13</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,500</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,571,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nielsen Finance LLC, Class B Dollar
     Term Loan, 4.01%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/02/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,384</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,388,016</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sinclair Television Group, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term
     Loan B3, 1.00%, 10/28/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">285</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">283,663</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B Term Loan,
     4.00%, 10/28/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,010</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,005,037</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Univision Communications, Inc., Extended
     First Lien</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 4.49%,
     3/31/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,113</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,962,673</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UPC Broadband Holding B.V., Term Loan
     U, 4.72%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/29/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">494</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">645,797</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UPC Financing Partnership:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 4.75%,
     12/29/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">895</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">893,434</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan T, 3.77%,
     12/30/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">165</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">162,236</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WC Luxco Sarl, Term Loan B3, 4.25%,
     3/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">437</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">435,674</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Weather Channel, Term Loan B, 4.25%,
     2/13/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,103</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,104,648</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,825,569</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Metals &amp; Mining
     &#151; 2.6%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Novelis, Inc., Term Loan, 4.00%, 3/10/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,836</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,821,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SunCoke Energy, Inc., Term Loan B, 4.00%
     &#150; 5.25%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/26/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">945</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">942,887</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Walter Energy, Inc., Term Loan B, 4.00%,
     4/02/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,289</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,273,740</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,038,127</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Multi-Utilities &#151;
     0.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FirstLight Power Resources, Inc., Term
     B Advance</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(First
     Lien), 2.75%, 11/01/13</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">329</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">309,763</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Multiline Retail
     &#151; 1.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99 Cents Only Stores, Term Loan B, 6.00%
     &#150; 7.00%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/11/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,135</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,142,298</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dollar General Corp., Tranche B-2 Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.00% &#150; 3.33%,
     7/07/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">616</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">616,394</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
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<A name="page_18"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD STYLE="width: 59%"></TD>
     <TD STYLE="width: 40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Floating Rate Income <BR>
     Strategies Fund, Inc. (FRA)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Multiline Retail
     (concluded)</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hema Holding BV:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term
     Loan B, 2.69%, 7/05/15</FONT></TD>
     <TD STYLE="text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; width: 12%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">399</FONT></TD>
    <TD STYLE="width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; width: 5%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">511,674</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 3.44%,
     7/06/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">399</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">509,017</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Neiman Marcus Group, Inc., Term
     Loan, 4.75%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/16/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">380</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">376,960</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,156,343</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Oil, Gas &amp; Consumable
     Fuels &#151; 1.9%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EquiPower Resources Holdings LLC, Term
     Loan B, 5.75%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/26/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,590</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,494,630</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gibson Energy, Term Loan B, 5.75%, 6/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,791</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,792,863</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Obsidian Natural Gas Trust, Term Loan, 7.00%,
     11/02/15</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,863</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,872,132</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,159,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Paper &amp; Forest
     Products &#151; 0.6%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NewPage Corp., Term Loan, 8.00%, 3/07/13</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">450</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">453,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Verso Paper Finance Holdings LLC, Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.79% &#150; 7.54%,
     2/01/13 (f)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,346</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,173,190</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,626,565</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Pharmaceuticals &#151;
     3.9%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aptalis Pharma, Inc., Term Loan B, 5.50%,
     2/10/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,178</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,159,487</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Endo Pharmaceuticals Holdings, Inc.,
     Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 6/18/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">353</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">353,649</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pharmaceutical Product Development,
     Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%, 12/05/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,800</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,815,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Quintiles Transnational Corp., Term
     Loan B, 5.00%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/08/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,353</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,344,255</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">RPI Finance Trust, Term Loan Tranche
     2, 4.00%, 5/09/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">995</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">993,249</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Taminco Global Chemical Corp., New Term
     Loan, 6.25%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/15/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">635</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">637,610</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valeant Pharmaceuticals International,
     Add on Term</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Loan B, 3.75%, 2/08/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,290</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,282,855</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Warner Chilcott Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-1, 4.25%,
     3/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">635</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">633,707</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-2, 4.25%,
     3/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">318</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">316,854</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,537,416</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="color: #394c87"><B>Professional
     Services &#151; 1.4%</B></FONT></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Booz Allen Hamilton, Inc., Tranche B
     Term Loan, 4.00%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/03/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">620</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">621,561</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Emdeon, Inc., Term Loan B, 6.75%, 11/02/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,900</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,921,717</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fifth Third Processing Solutions LLC,
     Term Loan B</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(First Lien), 4.50%,
     11/03/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,335</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,335,976</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,879,254</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Real Estate Investment
     Trusts (REITs) &#151; 0.7%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">iStar
     Financial, Inc., Term Loan A1, 5.00%, 6/28/13</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,830</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,821,302</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Real Estate Management
     &amp; Development &#151; 1.0%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mattamy Funding Partnership, Term Loan
     B, 2.75%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/11/13</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">403</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">382,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Realogy Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 18px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Synthetic
     Letter of Credit, 3.25%, 10/10/13</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52,155</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 18px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Synthetic
     Letter of Credit, 4.53%, 10/10/16</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,118</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan,
     4.77%, 10/10/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,338</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,168,912</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,611,585</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Road &amp; Rail &#151;
     0.8%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Avis Budget Car Rental LLC, Incremental
     Term Loan,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%, 9/21/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,057</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,067,659</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">RailAmerica, Inc., Term Loan B, 4.00%,
     2/27/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,030</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,027,425</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,095,084</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Semiconductors &amp;
     Semiconductor Equipment &#151; 0.7%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Freescale Semiconductor, Inc., Extended
     Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.52%, 12/01/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">848</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">826,286</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NXP B.V., Term Loan A-2, 5.50%, 3/03/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,143</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,134,142</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,960,428</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-indent: 24px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Software &#151; 1.5%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 66%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Blackboard, Inc., Term Loan
     B, 7.50%, 10/04/18</FONT></TD>
     <TD STYLE="text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-indent: 12px; text-align: right; width: 12%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">555</FONT></TD>
    <TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; width: 5%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">547,602</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Infor Enterprise Solutions Holdings,
     Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Delayed
     Draw Term Loan, 1.00%, 7/28/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,297</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Initial
     Term Loan, 1.00%, 7/28/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70,228</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Initial
     Term Loan, 1.00%, 7/28/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">425</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">533,669</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rovi Corp., Tranche B Term Loan, 4.00%,
     2/07/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">993</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">991,259</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sophia, LP, Term Loan B, 6.25%, 7/19/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,150</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,161,983</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vertafore, Inc., Term Loan B, 5.25%,
     7/29/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">678</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">672,388</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,014,426</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Specialty Retail
     &#151; 4.6%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Academy Ltd., Term Loan, 6.00%, 8/03/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,700</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,699,813</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bass Pro Group LLC, Term Loan, 5.25%,
     6/13/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">134,421</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Burlington Coat Factory Warehouse Corp.,
     Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%, 2/23/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">910</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">909,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Claire's Stores, Inc., Term Loan B,
     2.99% &#150; 3.30%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/29/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">436</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">412,597</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">General Nutrition Centers, Inc., Term
     Loan B, 4.25%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/02/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,770</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,764,761</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Gymboree Corp., Term Loan, 5.00%,
     2/23/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">650</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">611,162</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jo-Ann Stores, Inc., Term Loan B, 4.75%,
     3/16/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">659</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">650,545</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Michaels Stores, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan
     B3, 5.13%, 7/29/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">736</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">731,634</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-2, 5.13%,
     7/29/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,470</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,461,262</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Petco Animal Supplies, Inc., Term Loan B,
     4.50%, 11/24/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,048</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,038,102</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Toys &#145;R&#146; Us Delaware, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B1, 6.00%,
     9/01/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,734</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,736,121</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B2, 5.25%,
     5/25/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">397</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">392,288</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,542,331</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Wireless Telecommunication
     Services &#151; 2.2%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Crown Castle International Corp., Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 1/31/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,060</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,050,627</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MetroPCS Wireless, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-3, 4.00%
     &#150; 4.06%, 3/16/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">246</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,229</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B-2 Term
     Loan, 4.07% &#150; 4.13%, 11/03/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">976</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">967,724</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vodafone Americas Finance 2, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 6.88%,
     8/11/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,093</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,093,387</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 6.25%,
     7/11/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">722</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">720,070</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,076,037</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Floating Rate Loan Interests &#151; 106.5%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">290,468,470</FONT></TD></TR>
<TR>
     <TD COLSPAN="6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="6" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;<B>Beneficial</B></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Interest</B>&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Other
     Interests (i)</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Chemicals &#151;
     0.0%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wellman
     Holdings, Inc., Litigation Trust Certificate</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,750</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Financial
     Services &#151; 0.3%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JG Wentworth
     LLC Preferred Equity Interests (c)</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(j)&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">711,907</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Other Interests &#151; 0.3%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">711,955</FONT></TD></TR>
<TR>
     <TD COLSPAN="6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="6" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Warrants
     (k) &#150; 0.0%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares</B></FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Software &#151; 0.0%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HMH
     Holdings/EduMedia (Expires 3/09/17)</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,690</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Long-Term Investments</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(Cost
     &#150; $354,193,944) &#151; 128.5%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">350,269,669</FONT></TD></TR>
<TR>
     <TD COLSPAN="6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="6" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Short-Term
     Securities</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BlackRock Liquidity Funds, TempFund,
     Institutional</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Class,
     0.11% (l)(m)</FONT></TD>
     <TD COLSPAN="2" ALIGN="RIGHT" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,253,818</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,253,818</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Short-Term Securities</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(Cost
     &#150; $3,253,818) &#151; 1.2%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,253,818</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 18; Value: 13 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->30<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">FEBRUARY 29, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_19"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD STYLE="width: 59%"></TD>
     <TD STYLE="width: 40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Floating Rate Income <BR>
     Strategies Fund, Inc. (FRA)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2" STYLE="padding-right: 4"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Options
     Purchased</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Contracts</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Over-the-Counter
     Call Options &#151; 0.0%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Marsico Parent Superholdco LLC, Strike
     Price</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD 942.86, Expires
     12/14/19, Broker</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goldman
     Sachs Bank USA</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Options Purchased</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(Cost
     &#151; $19,556) &#151; 0.0%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR>
     <TD COLSPAN="4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 71%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Investments (Cost
     &#151; $357,467,318) &#151; 129.7%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6; width: 14%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 4; width: 5%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 4; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">353,523,487</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Liabilities in Excess of Other Assets
     &#151; (29.7)%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(80,871,597)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Net Assets &#151; 100.0%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 4; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">272,651,890</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(a)</FONT></TD><TD STYLE="width: 5pt; border-top: Black 1px solid"></TD><TD STYLE="border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Security
                                                                               exempt from registration pursuant to Rule 144A
                                                                               under the Securities Act of 1933. These securities
                                                                               may be resold in transactions exempt from registration
                                                                               to qualified institutional investors.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(b)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Variable
                                                                               rate security. Rate shown is as of report date.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(c)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-income
                                                                               producing security.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(d)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Restricted
                                                                               security as to resale. As of report date the Fund
                                                                               held 0.8% of its net assets, with a current value
                                                                               of $2,180,134 and an original cost of $396,662
                                                                               in these securities.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(e)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">When-issued
                                                                               security. Unsettled when-issued transactions were
                                                                               as follows:</FONT></TD>
</TR></TABLE>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="44%" align=center></TD>
     <TD width="38%" align=center></TD>
     <TD width="17%" align=center></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Counterparty</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Unrealized<BR>
     Appreciation</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan Stanley
     Co.</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$ 179,813</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$ 4,813</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(f)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Represents
                                                                               a zero-coupon bond. Rate shown reflects the current
                                                                               yield as of report date.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(g)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Represents
                                                                               a payment-in-kind security which may pay interest/dividends
                                                                               in additional par/shares.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(h)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Issuer
                                                                               filed for bankruptcy and/or is in default of interest
                                                                               payments.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(i)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Other
                                                                               interests represent beneficial interests in liquidation
                                                                               trusts and other reorganization or private entities.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(j)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Amount
                                                                               is less than $500.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(k)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Warrants
                                                                               entitle the Fund to purchase a predetermined number
                                                                               of shares of common stock and are non-income producing.
                                                                               The purchase price and number of shares are subject
                                                                               to adjustment under certain conditions until the
                                                                               expiration date, if any.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(l)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investments
                                                                               in companies considered to be an affiliate of the
                                                                               Fund during the period, for purposes of Section
                                                                               2(a)(3) of the 1940 Act, were as follows:</FONT></TD>
</TR></TABLE>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD STYLE="width: 32%; text-align: center"></TD>
     <TD STYLE="width: 20%; text-align: center"></TD>
     <TD STYLE="width: 15%; text-align: center"></TD>
     <TD STYLE="width: 21%; text-align: center"></TD>
     <TD STYLE="width: 11%; text-align: center"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Affiliate</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares
     Held at<BR>
     August 31, 2011</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Net<BR>
     Activity</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares
     Held at<BR>
     February 29, 2012</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Income</B></FONT></TD></TR>
<TR>
     <TD colSpan=5><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BlackRock Liquidity</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Funds, TempFund,</FONT></TD>
     <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Institutional
     Class</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;5,396,667</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,142,849)</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;3,253,818</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$
     469</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(m)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Represents
                                                                               the current yield as of report date.</FONT></TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Foreign
                                                                                  currency exchange contracts as of February 29,
                                                                                  2012 were as follows:</FONT></TD>
</TR></TABLE>

<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center; padding-right: 6"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD COLSPAN="2" STYLE="text-align: center; padding-right: 4"></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Currency<BR>
     Purchased</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Currency<BR>
     Sold</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Counterparty</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Settlement<BR>
     Date</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center; padding-right: 4; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Unrealized<BR>
Appreciation<BR>
(Depreciation)</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="8"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">203,186</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CAD</FONT></TD>
     <TD STYLE="text-indent: 12px; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">207,500</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Royal Bank</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">of Scotland Plc</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/11/12</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 0; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,340)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,395,189</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
     <TD STYLE="text-indent: 6px; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,562,500</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/11/12</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(89,886)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">250,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-indent: 12px; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">336,583</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Deutsche Bank AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/18/12</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,443)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">410,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-indent: 12px; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">543,569</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Deutsche Bank AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/18/12</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,781</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">312,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-indent: 12px; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">406,665</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Royal Bank</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">of Scotland Plc</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/18/12</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,094</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,965,860</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-indent: 6px; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,644,500</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citibank NA</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/18/12</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(223,218)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">543,822</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 12px; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">410,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citibank
     NA</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/18/12</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,528)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 6%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD>
     <TD STYLE="text-align: left; width: 14%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; width: 6%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; width: 17%; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; width: 22%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; width: 15%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 0; width: 10%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 0; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(313,540)</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
                                                                                  Fund compliance purposes, the Fund&#146;s industry
                                                                                  classifications refer to any one or more of
                                                                                  the industry sub-classifications used by one
                                                                                  or more widely recognized market indexes or
                                                                                  rating group indexes, and/or as defined by Fund
                                                                                  management. These definitions may not apply
                                                                                  for purposes of this report, which may combine
                                                                                  such industry sub-classifications for reporting
                                                                                  ease.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fair
                                                                                  Value Measurements &#151; Various inputs are
                                                                                  used in determining the fair value of investments
                                                                                  and derivative financial instruments. These
                                                                                  inputs are categorized into a disclosure hierarchy
                                                                                  consisting of three broad levels for financial
                                                                                  statement purposes as follows:</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
                                                                                  1 &#151; unadjusted price quotations in active
                                                                                  markets/exchanges for identical assets and liabilities</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
                                                                                  2 &#151; other observable inputs (including,
                                                                                  but not limited to: quoted prices for similar
                                                                                  assets or liabilities in markets that are active,
                                                                                  quoted prices for identical or similar assets
                                                                                  or liabilities in markets that are not active,
                                                                                  inputs other than quoted prices that are observable
                                                                                  for the assets or liabilities (such as interest
                                                                                  rates, yield curves, volatilities, prepayment
                                                                                  speeds, loss severities, credit risks and default
                                                                                  rates) or other market-corroborated inputs)</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
                                                                                  3 &#151; unobservable inputs based on the best
                                                                                  information available in the circumstances,
                                                                                  to the extent observable inputs are not available
                                                                                  (including the Fund's own assumptions used in
                                                                                  determining the fair value of investments and
                                                                                  derivative financial instruments)</FONT></TD>
</TR></TABLE>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 20pt; text-indent: 0pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Changes
in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization
of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment
and derivative financial instrument and does not necessarily correspond to the Fund's perceived risk of investing in those securities.
For information about the Fund's policy regarding valuation of investments and derivative financial instruments and other significant
accounting policies, please refer to Note 1 of the Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
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<A name="page_20"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD STYLE="width: 59%"></TD>
     <TD STYLE="width: 40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(concluded)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Floating Rate Income <BR>
     Strategies Fund, Inc. (FRA)</B></FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The following tables summarize the inputs
used as of February 29, 2012 in determining the fair valuation of the Fund's investments and derivative financial instruments:</FONT></P>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Valuation
     Inputs</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; padding-right: 6; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
     1</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; padding-right: 4; vertical-align: bottom; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
     2</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; padding-right: 6; vertical-align: bottom; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
     3</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; padding-right: 4; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Assets:</B></FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investments:</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Long-Term</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 12px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investments:</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 6px" align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset-Backed</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 12px" align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 4; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,799,770</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,392,833</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,192,603</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 6px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Common Stocks&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">533,273</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,180,134</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,186</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,742,593</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 6px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,961,833</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,192,215</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,154,048</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 6px" align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 12px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Loan Interests</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">272,742,370</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,726,100</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">290,468,470</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 6px" align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Other</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 12px" align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interests</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">711,955</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">711,955</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Short-Term</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
     <TD ALIGN="LEFT" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,253,818</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,253,818</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 6; border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,787,091</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 4; vertical-align: bottom; border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 4; border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">321,684,107</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: Black 2pt solid; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2pt solid; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,052,289</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom; padding-right: 4; border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 4; border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">353,523,487</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Valuation
     Inputs</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; padding-right: 6; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
     1</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; padding-right: 4; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
     2</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; padding-right: 6; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
     3</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; padding-right: 4; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Derivative Financial Instruments<SUP>1</SUP></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Assets:</B></FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Foreign currency</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 12px" align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">exchange</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 12px" align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">contracts</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 4; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,875</FONT></TD>
     <TD COLSPAN="2" STYLE="text-indent: 6px; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Liabilities:</B></FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Foreign currency</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 12px" align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">exchange</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 12px" align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">contracts</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(325,415)</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(325,415)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD>
     <TD ALIGN="LEFT" STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 0; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 0; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(313,540)</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-indent: 6px; text-align: right; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 0; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(313,540)</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>1</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Derivative
                                                                                        financial instruments are foreign currency
                                                                                        exchange contracts, which are valued at
                                                                                        the unrealized appreciation/depreciation
                                                                                        of the instruments.</FONT></TD>
</TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: 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>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset-Backed<BR>
    Securities</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Common<BR>
    Stocks</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate<BR>
    Bonds</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating
    Rate<BR> Loan Interests</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Other<BR>
    Interests</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Assets/Liabilities:</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 40%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Balance, as of<BR>
&nbsp;&nbsp;&nbsp;&nbsp;August
    31, 2011</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,328,370</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">191,645</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,293,544</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,078,475</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">742,860</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,634,894</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Accrued discounts/premiums</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,461</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,200</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52,171</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">150,832</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Net realized gain (loss)</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,362,357</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,143</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,344,187</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Net change in unrealized <BR> &nbsp;&nbsp;&nbsp;&nbsp;appreciation/depreciation<SUP>2</SUP></FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,002</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(160,573</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,620,344</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,084,360</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(40,737</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,339,676</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Purchases</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,123,628</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,832</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,133,460</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sales</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,913</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(398,516</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,179,883</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,580,312</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Transfers in<SUP>3</SUP></FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,136,364</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,136,364</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Transfers out<SUP>3</SUP></FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(10,418,438</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(10,418,438</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Balance, as of <BR>
    &nbsp;&nbsp;&nbsp;&nbsp;February 29, 2012</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,392,833</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,186</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,192,215</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,726,100</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">711,955</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,052,289</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>2</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: 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 investments
                                                                                        still held on February 29, 2012 was $2,935,504.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>3</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
                                                                                        Fund&#146;s policy is to recognize transfers
                                                                                        in and transfers out as of the beginning
                                                                                        of the period of the event or the change
                                                                                        in circumstances that caused the transfer.</FONT></TD>
</TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">A reconciliation of Level 3 investments and
derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivatives at
the beginning and/or end of the period in relation to net assets.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 20; Value: 13 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->32<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">FEBRUARY 29, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_21"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="55%"></TD>
     <TD width="44%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments</FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Limited Duration Income Trust (BLW)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">February 29, 2012 (Unaudited)</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Asset-Backed
     Securities</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Asset-Backed Securities
     &#151; 5.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">321 Henderson Receivables I LLC, Series
     2010-3A,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Class
     A, 3.82%, 12/15/48 (a)</FONT></TD>
     <TD STYLE="text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,641</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,676,209</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ARES CLO Funds, Series 2005-10A, Class
     B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.95%, 9/18/17 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,500</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,388,070</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ballyrock CDO Ltd., Series 2006-1A,
     Class B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.84%, 8/28/19 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,500</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,256,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canaras Summit CLO Ltd., Series 2007-1A,
     Class B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.04%, 6/19/21 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,735</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,475,253</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capital One Multi-Asset Execution Trust,
     Series 4-3C,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.63%, 4/19/17 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,650</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,300,215</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Conseco Financial Corp., Series 1995-5,
     Class M1,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.65%, 9/15/26 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">966</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">991,695</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Countrywide Asset-Backed Certificates
     (b):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-6, Class
     2A1, 0.34%, 9/25/37</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,430</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-7, Class
     2A2, 0.40%, 10/25/47</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,230</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,490,459</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-10, Class
     2A1, 0.29%, 6/25/47</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,290</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,264,814</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-12, Class
     2A1, 0.59%, 8/25/47</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,609</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,546,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CSAM Funding, Series 2A, Class B1, 7.05%,
     10/15/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">750</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">754,725</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gannett Peak CLO Ltd., Series 2006-1X,
     Class A2,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.92%, 10/27/20 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,330</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,073,975</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GSAA Trust, Series 2007-3, Class 1A2,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.41%, 3/25/47 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,213</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,363,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Portola CLO Ltd., Series 2007-1X, Class
     B1,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.95%, 11/15/21 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,770</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,517,775</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Santander Consumer Acquired Receivables
     Trust,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2011-S1A, Class
     D, 3.15%, 8/15/16 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,760</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,757,264</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Santander Drive Auto Receivables Trust
     (a):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2011-S1A,
     Class D, 3.10%, 5/15/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,414</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,401,866</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2011-S2A,
     Class B, 2.06%, 6/15/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">742</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">740,730</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2011-S2A,
     Class C, 2.86%, 6/15/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">769</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">769,293</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SLC Student Loan Trust, Series 2006-A,
     Class A4,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.69%, 1/15/19 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,338</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,319,302</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Spirit Issuer Plc, Series A2, 3.78%,
     12/28/31 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,800</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,961,580</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">T2 Income Fund CLO Ltd., Series 2007-1A,
     Class B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.17%, 7/15/19 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,515</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,313,884</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,425,864</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Interest Only Asset-Backed
     Securities &#151; 0.3%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sterling Bank Trust, Series 2004-2,
     Class Note,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.08%, 3/30/30 (a)</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,367</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">958,472</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sterling Coofs Trust, Series 1, 2.36%,
     4/15/29</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,022</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">854,225</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,812,697</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Asset-Backed Securities &#151; 5.7%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,238,561</FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Common
     Stocks (c)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Auto Components &#151;
     1.3%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delphi Automotive Plc (180-day lock)
     (acquired</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/11,
     cost $4,028,721) (d)</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 6; border-bottom: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">267,741</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,353,516</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Construction &amp;
     Engineering &#151; 0.0%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USI
     United Subcontractors</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,116</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,231</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Financial
     Services &#151; 0.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kcad
     Holdings I Ltd.</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: #000000 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6; border-bottom: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">254,615,288</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,331,003</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Hotels, Restaurants
     &amp; Leisure &#151; 0.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BLB Worldwide Holdings, Inc.</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,947</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">484,821</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Travelport Worldwide Ltd.</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">176,501</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">88,251</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">573,072</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Metals &amp; Mining
     &#151; 0.0%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euramax
     International</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">234</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">67,773</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Software &#151; 0.0%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Common
     Stocks (c)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bankruptcy Management Solutions,
     Inc.</FONT></TD>
     <TD STYLE="text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">880</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HMH Holdings/EduMedia</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">238,664</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,666</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,684</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Common Stocks &#151; 1.8%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,397,279</FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Aerospace &amp; Defense
     &#151; 0.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Huntington Ingalls Industries, Inc.,
     7.13%, 3/15/21</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">650</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">696,313</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kratos Defense &amp; Security Solutions,
     Inc.,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.00%, 6/01/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,966</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,118,365</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,814,678</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Airlines &#151; 1.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American Airlines Pass-Through Trust,
     Series 2011-2,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Class A, 8.63%, 4/15/23
     (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">898</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">951,880</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Continental Airlines, Inc., 6.75%, 9/15/15
     (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,350</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,363,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delta Air Lines, Inc., Series 2009-1-B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.75%, 6/17/18 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">262</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">278,062</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">United Air Lines, Inc., 12.75%, 7/15/12
     (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,455</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,541,132</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US Airways Pass-Through Trust, 10.88%,
     10/22/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,625</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,625,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,759,574</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Auto Components &#151;
     0.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B-Corp Merger Sub, Inc., 8.25%, 6/01/19
     (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">240</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delphi Corp., 6.13%, 5/15/21 (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">780</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">836,550</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Titan International, Inc., 7.88%, 10/01/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,330</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,413,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,494,475</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Beverages &#151;
     0.7%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Crown European Holdings SA:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.13%, 8/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">657</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">937,687</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.13%, 8/15/18 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">716</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,021,894</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SABMiller Holdings, Inc., 2.45%, 1/15/17
     (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,560</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,610,099</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,569,680</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Building Products
     &#151; 0.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Building Materials Corp. of America
     (a)(e):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 2/15/20</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,345</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,459,325</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.75%, 5/01/21</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">910</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">989,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,448,950</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Capital Markets &#151;
     1.2%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American Capital Ltd., 7.96%, 12/31/13
     (f)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,675</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,706,055</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG, 3.63%, 3/09/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,020</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,209,461</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">E*Trade Financial Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12.50%, 11/30/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,515</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,929,975</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.98%, 8/31/19 (a)(g)(h)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">249</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">235,616</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SteelRiver Transmission Co. LLC, 4.71%,
     6/30/17 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,245</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,283,225</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,364,332</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Chemicals &#151;
     2.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American Pacific Corp., 9.00%, 2/01/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,100</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,072,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Celanese US Holdings LLC, 5.88%, 6/15/21
     (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">805</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">877,450</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hexion U.S. Finance Corp., 9.00%, 11/15/20</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">735</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">720,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ineos Finance Plc, 8.38%, 2/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">540</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">573,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kinove German Bondco GmbH, 9.63%, 6/15/18
     (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,022,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lyondell Chemical Co., 11.00%, 5/01/18
     (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,714</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,974,689</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">LyondellBasell Industries NV, 6.00%,
     11/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">219,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nova Chemicals Corp., 8.38%, 11/01/16
     (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,500</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,132,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Solutia, Inc., 7.88%, 3/15/20 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,155</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,354,237</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,947,426</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Commercial Banks
     &#151; 4.2%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ABN Amro Bank NV, 6.38%, 4/27/21</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,020</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,404,867</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Bank Plc, 6.00%, 1/14/21</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,020</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,288,971</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
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<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD STYLE="width: 59%"></TD>
     <TD STYLE="width: 40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Limited Duration Income Trust (BLW)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Commercial Banks
     (concluded)</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CIT Group, Inc. (a):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%,
     4/01/14 (e)</FONT></TD>
     <TD STYLE="text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,614</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,695,315</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.75%, 2/15/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,409</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,445,135</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.50%, 2/15/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,390</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,419,537</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Commerzbank AG, 6.38%, 3/22/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,020</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,193,698</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HSBC Bank Plc, 3.10%, 5/24/16 (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,560</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,618,637</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HSBC Holdings Plc, 6.25%, 3/19/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,470,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ING Bank NV, 5.13%, 5/01/15 (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,936</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,877,712</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lloyds TSB Bank Plc, 6.50%, 3/24/20</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,020</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,238,189</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nordea Bank AB, 4.50%, 3/26/20</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,020</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,355,108</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Regions Financial Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.38%, 5/15/12 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,590</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,624,884</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.88%, 4/26/13</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">907</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">920,605</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26,553,458</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Commercial Services
     &amp; Supplies &#151; 0.9%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ACCO Brands Corp., 10.63%, 3/15/15 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,425</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,572,858</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ARAMARK Corp., 8.50%, 2/01/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">980</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,005,735</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Brickman Group Holdings, Inc., 9.13%,
     11/01/18 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,850</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Iron Mountain, Inc., 7.75%, 10/01/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">760</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">839,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mobile Mini, Inc., 7.88%, 12/01/20</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">915</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">960,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Verisure Holding AB:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.75%, 9/01/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">526</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">707,797</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.75%, 12/01/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">221</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">262,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">West Corp., 8.63%, 10/01/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">165</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">181,088</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,589,928</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Communications Equipment
     &#151; 0.2%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Avaya, Inc., 9.75%, 11/01/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">510</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">510,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hughes Satellite Systems Corp., 6.50%,
     6/15/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">850</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">901,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,411,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Consumer Finance
     &#151; 1.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ford Motor Credit Co. LLC (e):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.80%, 6/01/12</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,665</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,685,524</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.88%, 1/15/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,475</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,537,303</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 4/15/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">400</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">444,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.63%, 8/15/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,066</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,207,953</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hyundai Capital America, 3.75%, 4/06/16
     (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,285</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,299,765</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,174,545</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Containers &amp;
     Packaging &#151; 1.0%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ardagh Packaging Finance Plc:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.38%, 10/15/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">140,558</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.38%, 10/15/17 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">587</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">825,073</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ball Corp., 5.00%, 3/15/22 (i)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,460</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,492,850</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Berry Plastics Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.42%, 9/15/14 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">700</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">670,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.25%, 11/15/15 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">695</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">747,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.75%, 1/15/21</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">625</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">668,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sealed Air Corp., 8.38%, 9/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">295</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">337,775</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Smurfit Kappa Acquisitions (a):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.25%, 11/15/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">111</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">158,237</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.75%, 11/15/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">726</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,042,211</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,082,829</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Financial
     Services &#151; 5.3%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ally Financial, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.30%, 2/12/15 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,460</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,718,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.50%, 9/15/20</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,630</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,795,038</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.00%, 11/01/31 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,630</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,819,488</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.00%, 11/01/31</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">950</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,030,802</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Banque Paribas, 6.95%, 7/22/13 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,100</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,208,312</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citigroup, Inc., 4.75%, 5/19/15 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,178,992</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Goldman Sachs Group, Inc., 5.13%,
     1/15/15 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">565</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">600,537</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Intesa Sanpaolo SpA, 2.38%, 12/21/12
     (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,335</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,274,566</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan Chase &amp; Co., 3.40%, 6/24/15
     (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,312,306</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Financial
     Services (concluded)</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan Stanley (e):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%,
     11/02/12</FONT></TD>
     <TD STYLE="text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">795</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">814,114</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.30%, 3/01/13</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">825</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">849,353</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reynolds Group Issuer, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.75%, 10/15/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">340</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">481,293</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.75%, 10/15/16 (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,125</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,263,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.13%, 4/15/19 (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,990</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,104,425</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.88%, 8/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,820</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,881,425</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.88%, 2/15/21 (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,475</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,563,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SLM Corp., Series A, 5.00%, 10/01/13</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">150</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">153,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WMG Acquisition Corp., 9.50%, 6/15/16
     (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">280</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">309,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,358,576</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Telecommunication
     Services &#151; 2.7%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ITC Deltacom, Inc., 10.50%, 4/01/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,350</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,407,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 3 Escrow, Inc., 8.13%, 7/01/19
     (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,083</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,229,442</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 3 Financing, Inc., 4.51%, 2/15/15
     (b)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,725</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,673,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Qwest Communications International,
     Inc. (e):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.50%, 2/15/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">610</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">612,135</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.00%, 10/01/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,500</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,683,595</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series B, 7.50%,
     2/15/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,470</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,482,145</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Qwest Corp., 8.38%, 5/01/16 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,590</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,033,177</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TW Telecom Holdings, Inc., 8.00%, 3/01/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">250</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">274,063</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Windstream Corp., 8.13%, 8/01/13</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">590</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">632,775</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,027,957</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Electronic Equipment,
     Instruments &amp; Components &#151; 1.2%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Agilent
     Technologies, Inc., 4.45%, 9/14/12 (e)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,325</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,454,989</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Energy Equipment
     &amp; Services &#151; 1.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Calfrac Holdings LP, 7.50%, 12/01/20
     (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">280</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">280,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Compagnie Generale de Geophysique &#151;
     Veritas,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.75%, 5/15/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">330</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">343,613</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Frac Tech Services LLC, 7.63%, 11/15/18
     (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,690</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,804,075</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Key Energy Services, Inc., 6.75%, 3/01/21
     (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,040</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,089,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Oil States International, Inc., 6.50%,
     6/01/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">465</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">499,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Peabody Energy Corp., 6.25%, 11/15/21
     (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,080</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,226,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,243,263</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Gas Utilities &#151;
     0.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Florida Gas Transmission Co. LLC, 4.00%,
     7/15/15 (a)(e)</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,085,376</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Targa Resources Partners LP, 6.88%,
     2/01/21 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">690</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">736,575</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,821,951</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Equipment
     &amp; Supplies &#151; 1.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CareFusion Corp., 5.13%, 8/01/14 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,237,366</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DJO Finance LLC:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.88%, 11/15/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,625</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,670,937</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.75%, 4/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">540</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">464,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Teleflex, Inc., 6.88%, 6/01/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">675</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">727,313</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,100,016</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Providers
     &amp; Services &#151; 2.2%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aviv Healthcare Properties LP, 7.75%,
     2/15/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">645</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">659,513</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HCA, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%, 2/15/20 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,845</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,051,262</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.88%, 3/15/22</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,210</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,315,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Omnicare, Inc., 7.75%, 6/01/20 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,260</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,517,075</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tenet Healthcare Corp., 10.00%, 5/01/18
     (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,032</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,532,280</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,075,380</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Technology
     &#151; 0.8%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IMS
     Health, Inc., 12.50%, 3/01/18 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,300</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,117,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Hotels, Restaurants
     &amp; Leisure &#151; 3.3%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Caesars Operating Escrow, LLC., 8.50%,
     2/15/20 (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,300</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,326,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Enterprise Inns Plc:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%, 12/06/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,232</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,876,220</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.88%, 2/15/21</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,070</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,338,146</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MGM Resorts International:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.38%, 5/15/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,135</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,291,062</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11.13%, 11/15/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,720</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,956,500</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 22; Value: 13 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->34<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">FEBRUARY 29, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_23"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD STYLE="width: 59%"></TD>
     <TD STYLE="width: 40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Limited Duration Income Trust (BLW)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Hotels, Restaurants
     &amp; Leisure (concluded)</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Punch Taverns Finance B Ltd., Series
     A7,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.77%,
     6/30/33</FONT></TD>
     <TD STYLE="text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,275</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,455,601</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Spirit Issuer Plc (b):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.63%, 12/28/28</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,325</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,438,333</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.47%, 12/28/34</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,500</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,226,107</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Travelport LLC, 6.58%, 12/01/16 (a)(b)(j)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">931</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">656,037</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tropicana Entertainment LLC, Series
     WI,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.63%, 12/15/14 (c)(k)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">375</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,564,006</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Household Durables
     &#151; 0.8%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Beazer Homes USA, Inc., 12.00%, 10/15/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,800</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,142,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Berkline/Benchcraft LLC, 4.50%, 11/03/12
     (c)(k)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Standard Pacific Corp., 8.38%, 1/15/21</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">860</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">913,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,055,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Independent Power
     Producers &amp; Energy Traders &#151; 2.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AES Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.75%, 10/15/15 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,440</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,757,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.75%, 4/15/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">710</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">844,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.38%, 7/01/21 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">440</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">501,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Calpine Corp. (a)(e):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.25%, 10/15/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">405</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">429,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.50%, 2/15/21</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">530</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">575,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energy Future Holdings Corp., 10.00%,
     1/15/20</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,625</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,919,531</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energy Future Intermediate Holding Co.
     LLC:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.00%, 12/01/20</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,650</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,964,812</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11.75%, 3/01/22 (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,495</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,532,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Laredo Petroleum, Inc., 9.50%, 2/15/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">395</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">435,488</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">QEP Resources, Inc., 5.38%, 10/01/22
     (i)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">476</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">480,760</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,441,016</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Industrial Conglomerates
     &#151; 1.5%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sequa Corp. (a):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11.75%, 12/01/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,950</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,134,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13.50%, 12/01/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,870</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,266,224</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,400,599</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Insurance &#151;
     1.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Allied World Assurance Co. Holdings,
     Ltd.,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.50%, 8/01/16 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,414,273</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CNO Financial Group, Inc., 9.00%, 1/15/18
     (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,353</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,532,416</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Forethought Financial Group, Inc., 8.63%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/15/21 (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">750</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">753,406</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Genworth Financial, Inc., 7.63%, 9/24/21
     (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">990</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,027,149</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MPL 2 Acquisition Canco, Inc., 9.88%,
     8/15/18 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">595</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">531,038</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Muenchener Rueckversicherungs AG, 6.00%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/26/41 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">400</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">540,930</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,799,212</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>IT Services &#151;
     0.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Eagle Parent Canada, Inc., 8.63%, 5/01/19
     (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,260</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,304,100</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">First Data Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.38%, 6/15/19 (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">255</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">257,869</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.25%, 1/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">95</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">91,912</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12.63%, 1/15/21</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,088</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,142,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,796,281</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Machinery &#151;
     0.5%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Navistar International Corp., 8.25%,
     11/01/21</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">400</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">437,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UR Financing Escrow Corp. (a)(i):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.75%, 7/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,244</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,278,210</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.38%, 5/15/20</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">805</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">826,131</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.63%, 4/15/22</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">733</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">758,655</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,300,496</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Media &#151; 5.6%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AMC Networks, Inc., 7.75%,
     7/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">525</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">585,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCH II LLC, 13.50%, 11/30/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,106</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,721,944</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCO Holdings LLC, 7.88%, 4/30/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,525</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,666,062</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Checkout Holding Corp., 10.68%, 11/15/15
     (a)(g)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,570</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">706,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Clear Channel Worldwide Holdings, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.25%, 12/15/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">933</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,021,635</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.63%, 3/15/20 (a)(i)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,995</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,995,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series B, 9.25%,
     12/15/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,272</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,799,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DIRECTV Holdings LLC, 3.13%, 2/15/16
     (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,131,439</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DISH DBS Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 10/01/13 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,450</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,556,938</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.13%, 2/01/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">221,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.75%, 6/01/21</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">515</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">571,650</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Intelsat Luxemburg SA, 11.50%, 2/04/17
     (j)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">280</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">288,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interactive Data Corp., 10.25%, 8/01/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,210</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,491,775</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kabel BW Erste Beteiligungs GmbH, 7.50%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,440</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,555,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lamar Media Corp., 5.88%, 2/01/22 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">675</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">704,531</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NAI Entertainment Holdings LLC, 8.25%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/15/17 (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,445</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,589,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nielsen Finance LLC, 7.75%, 10/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,400</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,557,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ProtoStar I Ltd., 18.00%, 10/15/12 (a)(c)(h)(k)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,454</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,727</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unitymedia Hessen GmbH &amp; Co. KG,
     8.13%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/01/17 (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,090</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,437,650</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Virgin Media Secured Finance Plc, 6.50%,
     1/15/18 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,090,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,693,026</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Metals &amp; Mining
     &#151; 2.0%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Freeport-McMoRan Copper &amp; Gold,
     Inc. (e):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.40%, 2/13/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,310</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,312,254</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.38%, 4/01/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,140,343</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New World Resources NV, 7.88%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">995</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,345,523</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Novelis, Inc., 8.75%, 12/15/20 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,875</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,320,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Xstrata Canada Financial Corp., 2.85%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/10/14 (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,450</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,500,762</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,619,507</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Multiline Retail
     &#151; 0.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dollar
     General Corp., 11.88%, 7/15/17 (b)(e)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,458</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,697,680</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Oil, Gas &amp; Consumable
     Fuels &#151; 6.3%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Anadarko Petroleum Corp., 5.95%, 9/15/16
     (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">719</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">832,403</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Arch Coal, Inc., 7.00%, 6/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">305</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">305,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Berry Petroleum Co., 8.25%, 11/01/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">550</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">573,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BP Capital Markets Plc, 5.25%, 11/07/13
     (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,445,590</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chesapeake Midstream Partners LP, 6.13%,
     7/15/22 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">510</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">527,850</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chesapeake Oilfield Operating LLC, 6.63%,
     11/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Coffeyville Resources LLC, 9.00%, 4/01/15
     (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">634</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">678,380</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Consol Energy, Inc., 8.25%, 4/01/20
     (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,150</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,343,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Crosstex Energy LP, 8.88%, 2/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">146,475</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Denbury Resources, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.25%, 2/15/20 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">971</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,106,940</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.38%, 8/15/21</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">810</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">893,025</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">El Paso Corp., 7.00%, 6/15/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,265</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,530,999</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Forest Oil Corp., 8.50%, 2/15/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">125</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Holly Energy Partners LP, 6.50%, 3/01/20
     (a)(i)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">215</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">219,569</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Linn Energy LLC:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%, 11/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,210</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,207,238</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.63%, 4/15/20</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">515</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">571,650</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.75%, 2/01/21</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">695</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">747,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Niska Gas Storage US LLC, 8.88%, 3/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">350</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">336,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Oasis Petroleum, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.25%, 2/01/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">475</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">503,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%, 11/01/21</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">410</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">422,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OGX Petroleo e Gas Participacoes SA, 8.50%,
     6/01/18 (a)</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,230</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,537,275</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PetroBakken Energy, Ltd., 8.63%, 2/01/20
     (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">930</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">988,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Petrohawk Energy Corp. (e):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.50%, 8/01/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">840</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">933,450</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.88%, 6/01/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,130</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,193,563</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.25%, 8/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">740</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">846,375</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 23; Value: 13 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">FEBRUARY 29, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->35<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_24"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD STYLE="width: 59%"></TD>
     <TD STYLE="width: 40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Limited Duration Income Trust (BLW)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Oil, Gas &amp; Consumable
     Fuels (concluded)</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Plains Exploration &amp; Production
     Co., 6.75%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/01/22
     (e)</FONT></TD>
     <TD STYLE="text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,035</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,133,325</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Range Resources Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.75%, 6/01/21 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,735</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,856,450</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00%, 8/15/22 (i)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">805</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">813,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ruby Pipeline LLC (a):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.50%, 4/01/17 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,215</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,212,006</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.00%, 4/01/22</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">895</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">893,205</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SandRidge Energy, Inc., 7.50%, 3/15/21</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">575</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">580,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,560,018</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Paper &amp; Forest
     Products &#151; 0.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Longview Fibre Paper &amp; Packaging,
     Inc.,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.00%, 6/01/16 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">395</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">405,863</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NewPage Corp., 11.38%, 12/31/14 (c)(e)(k)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,445</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,075,612</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,481,475</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Pharmaceuticals &#151;
     0.7%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aristotle Holding, Inc., 2.65%, 2/15/17
     (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,710</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,713,087</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valeant Pharmaceuticals International,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%, 7/15/16 (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,470</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,499,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,212,487</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Real Estate Investment
     Trusts (REITs) &#151; 0.5%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Felcor Lodging LP, 6.75%, 6/01/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,610</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,646,225</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ventas Realty LP/Ventas Capital Corp.,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.75%, 6/01/21 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,300</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,339,433</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,985,658</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Real Estate Management
     &amp; Development &#151; 1.9%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Realogy Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11.50%, 4/15/17 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">215</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">196,725</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12.00%, 4/15/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">225</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">207,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.88%, 2/15/19 (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,865</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,779,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.63%, 1/15/20 (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,675</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,729,437</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.00%, 1/15/20 (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">480</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">482,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shea Homes LP, 8.63%, 5/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,165</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,176,650</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Unique Pub Finance Co. Plc,:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series A3, 6.54%,
     3/30/21</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,700</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,217,715</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series A4, 5.66%,
     6/30/27</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">509</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">607,326</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series M, 7.40%,
     3/28/24</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,750</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,624,985</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,021,288</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Road &amp; Rail &#151;
     1.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asciano Finance Ltd., 3.13%, 9/23/15
     (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,400</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,358,299</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Avis Budget Car Rental LLC, 8.25%, 1/15/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,550</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Florida East Coast Railway Corp., 8.13%,
     2/01/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">530</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">535,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hertz Corp.,:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.50%, 10/15/18 (i)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">635</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">685,006</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.75%, 4/15/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,030</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,078,925</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.75%, 4/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">405</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">424,238</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.38%, 1/15/21</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,585</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,798,262</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,942,580</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Tobacco &#151; 0.5%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reynolds
     American, Inc., 7.63%, 6/01/16 (e)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,500</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,014,940</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Transportation Infrastructure
     &#151; 0.3%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aguila 3 SA, 7.88%, 1/31/18 (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">498</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">523,522</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Federal Express Corp. 2012 Pass Through
     Trust,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.63%, 1/15/18 (a)(e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,468</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,466,936</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,990,458</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Wireless Telecommunication
     Services &#151; 2.6%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cricket Communications, Inc., 7.75%,
     5/15/16 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,250</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,396,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Crown Castle Towers LLC, 4.52%, 1/15/35
     (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,123,021</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Digicel Group Ltd. (a):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.88%, 1/15/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">720</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">732,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.13%, 1/15/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,267</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,312,340</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.25%, 9/01/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,335</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,415,100</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sprint Capital Corp., 6.88%, 11/15/28</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,470</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,146,600</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Wireless Telecommunication
     Services (concluded)</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sprint Nextel Corp. (a):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.00%,
     11/15/18 (e)</FONT></TD>
     <TD STYLE="text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,070</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,423,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 3/01/20 (i)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,620</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,646,325</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,195,286</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Corporate Bonds &#151; 61.7%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">390,181,770</FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Aerospace &amp; Defense
     &#151; 0.2%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TransDigm,
     Inc., Term Loan (First Lien), 4.00%, 2/14/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,485</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,483,693</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Airlines &#151; 0.2%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delta Air Lines, Inc., Credit New Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.50%,
     4/20/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,008</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">983,968</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Auto Components &#151;
     1.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Allison Transmission, Inc., Term Loan
     B, 2.75%, 8/07/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,277</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,240,214</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Autoparts Holdings Ltd.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">First Lien Term Loan,
     6.50%, 7/28/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">998</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">999,994</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Second Lien Term
     Loan, 10.50%, 1/29/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,500</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,458,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Schaeffler AG, Term Loan C2, 6.00%,
     1/27/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,335</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,338,898</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,037,856</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Beverages &#151;
     0.0%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Le-Nature's, Inc., Tranche B Term Loan,
     0.00%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/01/11
     (c)(h)(k)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Biotechnology &#151;
     0.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Grifols
     SA, Term Loan B, 4.50%, 2/13/18</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,495</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,491,532</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Building Products
     &#151; 1.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CPG International, Inc., Term Loan B,
     6.00%, 2/18/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">990</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">935,550</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goodman Global Holdings, Inc., Initial
     Term Loan</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(First Lien), 5.75%,
     10/28/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,421</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,442,947</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goodman Global, Inc., Term Loan (Second
     Lien),</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.00%, 10/30/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,145</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,163,358</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Momentive Performance Materials, Inc.
     (Blitz 06-103</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GmbH), Tranche B-2B
     Term Loan, 4.08%, 5/05/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,516</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,911,844</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">United Subcontractors, Inc., Term Loan
     (First Lien),</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.58%, 6/30/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">155</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">123,821</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,577,520</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Capital Markets &#151;
     0.7%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HarbourVest Partners, Term Loan (First
     Lien),</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%, 12/16/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,305</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,306,846</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nuveen Investments, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(First Lien), Term
     Loan, 3.30% &#151; 3.58%, 11/13/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">196,389</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan,
     5.74% &#151; 5.83%, 5/12/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,137</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,133,437</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term
     Loan, 7.25%, 5/13/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">790</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">795,530</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,432,202</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Chemicals &#151;
     1.8%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American Rock Salt Holdings LLC, Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.50%, 4/25/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">997</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">926,955</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chemtura Corp., Exit Term Loan B, 5.50%,
     8/27/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,100</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,103,443</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gentek, Inc., Term Loan B, 5.00% &#151;
     5.75%, 10/06/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,074</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,067,006</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MDI Holdings LLC, Tranche C Term Loan,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.76%, 4/11/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">458</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">594,922</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nexeo Solutions LLC, Term Loan B, 5.00%,
     9/08/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,290</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,270,354</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PQ Corp., Original Term Loan (First
     Lien),</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.50%, 7/30/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,423</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,388,323</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Styron Sarl LLC, Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.00% &#151; 6.75%,
     8/02/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,161</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,948,068</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tronox Worldwide LLC:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delayed Draw Term
     Loan, 1.00%, 2/09/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">342</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">341,403</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 4.25%,
     2/08/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,253</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,251,811</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Univar, Inc., Term Loan B, 5.00%, 6/30/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,375</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,363,564</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,255,849</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 24; Value: 13 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->36<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">FEBRUARY 29, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_25"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD STYLE="width: 59%"></TD>
     <TD STYLE="width: 40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Limited Duration Income Trust (BLW)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Commercial Services
     &amp; Supplies &#151; 1.8%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Altegrity, Inc., Tranche
     D Term Loan, 7.75%, 2/20/15</FONT></TD>
     <TD STYLE="text-align: left; width: 7%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,718</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,713,372</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AWAS Finance Luxembourg Sarl, Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 6/10/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,122</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,118,508</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delos Aircraft, Inc., Term Loan B2,
     7.00%, 3/17/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,454</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,455,402</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">KAR Auction Services, Inc., Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00%, 5/19/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,493</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,490,634</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Synagro Technologies, Inc., Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.25% &#151; 2.26%,
     4/02/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,141</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,020,813</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Volume Services America, Inc., Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.50% &#151; 10.75%,
     9/16/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,568</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,578,206</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,376,935</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Communications Equipment
     &#151; 0.5%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Avaya, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B1, 3.24%,
     10/24/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,373</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,343,237</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B3, 4.99%,
     10/26/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">630</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">610,955</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CommScope, Inc., Term Loan B, 5.00%,
     1/14/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,241</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,240,054</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,194,246</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Construction &amp;
     Engineering &#151; 0.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Safway Services, LLC, First Out Tranche
     Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.00%,
     12/16/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,750</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,750,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Consumer Finance
     &#151; 0.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Springleaf
     Finance Corp, Term Loan, 5.50%, 5/10/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">925</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">843,239</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Containers &amp;
     Packaging &#151; 0.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sealed
     Air Corp., Term Loan B, 4.75%, 10/03/18</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">611</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">616,599</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Consumer
     Services &#151; 1.8%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Coinmach Service Corp., Term Loan B, 3.41%,
     11/20/14</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,571</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,210,286</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Laureate Education, Inc., Extended Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 8/15/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,576</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,367,898</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ServiceMaster Co.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delayed Draw Term
     Loan, 2.75%, 7/24/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">249</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">245,858</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 2.77%
     &#151; 3.03%, 7/24/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,499</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,468,820</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,292,862</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Financial
     Services &#151; 0.5%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reynolds Group Holdings, Inc., Tranche
     C Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%
     &#151; 6.50%, 8/09/18</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,454</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,489,771</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Telecommunication
     Services &#151; 1.4%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hawaiian Telcom Communications, Inc.,
     Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.00%, 2/25/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,755</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,750,612</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 3 Financing, Inc.:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B2, 5.75%,
     9/03/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,600</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,617,888</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B3, 5.75%,
     8/31/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,800</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,819,264</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche A Term Loan,
     2.50% &#151; 2.83%, 3/13/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,150</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,131,025</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US Telepacific Corp., Term Loan B, 5.75%,
     2/23/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">499</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">472,683</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,791,472</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Electric Utilities
     &#151; 0.1%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TPF Generation Holdings LLC:</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Synthetic Letter
     of Credit Deposit (First Lien),</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.58%, 12/13/13</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">151</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">149,289</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan (First
     Lien), 2.58%, 12/13/13</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">251</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">249,055</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">398,344</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Electronic Equipment,
     Instruments &amp; Components &#151; 0.4%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CDW LLC (FKA CDW Corp.), Extended Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 7/14/17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,246</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,217,811</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sensata Technologies Finance Co. LLC,
     Term Loan,</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 5/11/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,647</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,643,059</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,860,870</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Energy Equipment
     &amp; Services &#151; 1.6%</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCS Corp., Term Loan B, 3.24%, 11/14/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,639</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,586,039</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dynegy Midwest Generation LLC., Coal Co.
     Term Loan,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.25%, 8/04/16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,326</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,313,097</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dynegy Power LLC., Gas Co. Term Loan, 9.25%,
     8/04/16</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,257</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,391,436</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MEG Energy Corp., Term Loan B, 4.00%,
     3/16/18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,995</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,990,910</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,281,482</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Food &amp; Staples
     Retailing &#151; 0.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S. Foodservice, Inc., Term Loan B, 2.74%
     &#151; 2.75%,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/03/14</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">692</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: #000000 1px solid; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">668,174</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Food Products &#151;
     1.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Advance Pierre Foods:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan (First
     Lien), 7.00%, 9/30/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,345</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,344,773</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan (Second
     Lien), 11.25%, 9/29/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,300</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,301,079</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Del Monte Corp., Term Loan, 4.50%, 3/08/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,164</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,141,037</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pinnacle Foods Finance LLC, Tranche
     D Term Loan,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.00% &#151; 6.50%,
     4/02/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,019</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,024,472</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Solvest Ltd. (Dole):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 18px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B-2 Term
     Loan, 5.00% &#151; 6.00%, 7/06/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">97</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">97,590</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 18px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche C-2 Term
     Loan, 5.00% &#151; 6.00%, 7/06/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">181</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">181,239</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,090,190</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Equipment
     &amp; Supplies &#151; 0.3%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Biomet, Inc., Term Loan B, 3.24% &#151;
     3.57%, 3/25/15</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">368</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">363,977</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hupah Finance, Inc., Term Loan B, 6.25%,
     1/21/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">999,380</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Immucor, Inc., Term Loan B, 7.25%, 8/17/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">299</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">301,270</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,664,627</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Providers
     &amp; Services &#151; 2.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ardent Health Services, Term Loan (First
     Lien),</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%, 9/15/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,294</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CHS/Community Health Systems, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-Extended Delayed
     Draw Term Loan,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.25%, 7/25/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">91</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">89,841</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 18px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-Extended Term
     Loan, 2.49% &#151; 4.50%, 7/25/14</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,773</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,749,580</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ConvaTec, Inc., Term Loan, 5.75%, 12/22/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,287</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,283,384</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DaVita, Inc., Term Loan B, 4.50%, 10/20/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,980</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,984,534</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Emergency Medical Services, Term Loan, 5.25%,
     5/25/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">951</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">947,574</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Harden Healthcare LLC:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan A, 8.50%,
     3/02/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">574</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">562,318</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 18px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche A Additional
     Term Loan, 7.75%, 3/02/15</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,458</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,389,316</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Health Management Associates, Inc.,
     Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.50%, 11/16/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">270</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">268,245</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">inVentiv Health, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Combined Term Loan,
     6.50%, 8/04/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,509</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,450,502</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term
     Loan B-3, 6.75%, 5/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">993</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">952,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Medpace, Inc., Term Loan, 6.50% &#151; 7.25%,
     6/16/17</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,836</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,722,320</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,401,708</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Health Care Technology
     &#151; 0.2%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IMS Health, Inc., Term Loan B, 4.50%,
     8/25/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">905</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">905,871</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kinetic Concepts, Inc., Term Loan B, 7.00%,
     5/04/18</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">620</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">630,075</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,535,946</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Hotels, Restaurants
     &amp; Leisure &#151; 2.3%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Caesars Entertainment Operating Co.,
     Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term
     Loan B4, 9.50%, 10/31/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,237</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,272,138</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B1, 3.24%,
     1/28/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,574</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,412,063</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B3, 3.24%
     &#151; 3.47%, 1/28/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,423</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,017,964</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dunkin' Brands, Inc., Term Loan B, 4.00%
     &#151; 5.25%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/23/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,617</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,612,330</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OSI Restaurant Partners LLC:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Revolver, 2.56% &#151;
     2.79%, 6/14/13</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42,354</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 2.56%,
     6/14/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">111,031</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Seaworld Parks &amp; Entertainment,
     Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 8/17/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">357</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">356,895</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Six Flags Theme Parks, Inc., Tranche
     B Term Loan</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(First Lien), 4.25%,
     12/20/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,155</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,149,953</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Travelport LLC:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan
     Tranche A, 6.54%, 9/28/12</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">428</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">203,454</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 18px" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term
     Loan Tranche B, 14.04%, 12/01/16</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,331</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">299,431</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Twin River Worldwide Holdings, Inc.,
     Term Loan,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.50%, 11/05/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,282</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,282,308</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,759,921</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 25; Value: 13 -->
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<A name="page_26"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD STYLE="width: 59%"></TD>
     <TD STYLE="width: 40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Limited Duration Income Trust (BLW)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Household Durables
     &#151; 0.0%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Berkline/Benchcraft LLC, Term Loan B,
     14.00%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/03/13
     (c)(k)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">155</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: #000000 1px solid; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,019</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Household Products
     &#151; 0.2%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Prestige
     Brands, Inc., Term Loan, 5.25%, 1/31/19</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,003,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Independent Power
     Producers &amp; Energy Traders &#151; 0.3%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The AES Corp., Term Loan, 4.25%, 6/01/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,489</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,487,261</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Texas Competitive Electric Holdings
     Co. LLC,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan,
     4.76%, 10/10/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">428</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">238,590</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,725,851</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Industrial Conglomerates
     &#151; 0.3%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sequa Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term
     Loan, 6.25%, 12/03/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">340</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">341,132</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 3.76%
     &#151; 3.84%, 12/03/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,824</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,804,561</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,145,693</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Internet Software
     &amp; Services &#151; 0.2%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Web.com
     Group, Inc., Term Loan B, 7.00%, 10/27/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">992</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">968,115</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>IT Services &#151;
     2.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ceridian Corp., Term Loan, 3.24%, 11/10/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,359</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,285,209</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">First Data Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan
     B, 4.24%, 3/23/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,739</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,150,016</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-1, 2.99%,
     9/24/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">860</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">821,868</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-3, 2.99%,
     9/24/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">109</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">103,775</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">infoGROUP, Inc., Term Loan B, 5.75%,
     5/22/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,061</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">991,946</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NeuStar, Inc., Term Loan B, 5.00%, 11/08/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,050</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,054,987</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TransUnion LLC, Term Loan B, 4.75%,
     2/12/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,147</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,150,017</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,557,818</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Leisure Equipment
     &amp; Products &#151; 0.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Eastman
     Kodak Co., DIP Term Loan B, 1.00%, 7/20/13</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">845</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">855,301</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Machinery &#151;
     0.6%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Terex Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 6.00%,
     4/28/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">309</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">408,891</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 5.50%,
     4/28/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">998</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,004,562</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tomkins LLC, Term Loan B, 4.25%, 9/29/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,158</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,155,924</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,569,377</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Media &#151; 7.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Affinion Group, Inc., Term Loan B, 5.00%,
     10/10/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,474</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,378,909</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AMC Networks, Inc., Term Loan B, 4.00%,
     12/31/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,189</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,175,319</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capsugel Healthcare Ltd., Term Loan,
     5.25%, 8/01/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">697</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">700,477</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cengage Learning Acquisitions, Inc.,
     Tranche 1</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term Loan,
     7.50%, 7/03/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,036</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,970,027</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cequel Communications LLC, Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.00%, 2/11/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,685</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,657,532</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Charter Communications Operating LLC:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 7.25%,
     3/06/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,561</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 3.83%,
     9/06/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,043</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,019,687</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Clear Channel Communications:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 3.89%,
     1/28/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,355</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,753,514</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 3.89%,
     1/28/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">795</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">630,038</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cumulus Media, Inc., Term Loan, 5.75%,
     9/17/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,500</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,501,245</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HMH Publishing Co., Ltd., Term Loan,
     6.51%, 6/12/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,187</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,969,487</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hubbard Broadcasting, Term Loan B (Second
     Lien),</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 4/28/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">896</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">896,243</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Intelsat Jackson Holdings SA, Tranche
     B Term Loan,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 4/02/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,459</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,449,470</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interactive Data Corp., Term Loan B,
     4.50%, 2/12/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,382</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,376,640</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kabel Deutschland GmbH, Term Loan F,
     4.25%, 2/01/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,195</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,179,025</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lavena Holding 4 GmbH (Prosiebensat.1
     Media AG):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Second Lien Term
     Loan, 5.18%, 9/02/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">904</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">891,852</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 3.80%,
     3/06/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">304</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">351,749</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 4.06%,
     3/04/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">304</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">353,773</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Newsday LLC, Fixed Rate Term Loan, 10.50%,
     8/01/13</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,505</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,634,519</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Media (concluded)</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sinclair Television Group, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental
     Term Loan B3, 1.00%, 10/28/16</FONT></TD>
     <TD STYLE="text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">660</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">656,905</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche B Term Loan,
     4.00%, 10/28/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">565</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">562,350</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Univision Communications, Inc., Extended
     First Lien</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 4.49%,
     3/31/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,915</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,635,469</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UPC Broadband Holding B.V., Term Loan
     U,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.72%, 12/29/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">97</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">126,615</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UPC Financing Partnership:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 4.75%,
     12/29/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,045</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,043,171</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan T, 3.77%,
     12/30/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">355</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">349,054</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WC Luxco Sarl, Term Loan B3, 4.25%,
     3/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">624</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">622,391</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Weather Channel, Term Loan B, 4.25%,
     2/13/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,116</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,116,422</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,065,444</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Metals &amp; Mining
     &#151; 1.2%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Novelis, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term
     Loan B2, 4.00%, 3/10/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,486</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,474,813</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 4.00%,
     3/10/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,317</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,299,918</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Walter Energy, Inc., Term Loan B, 4.00%,
     4/02/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,647</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,639,452</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,414,183</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Multi-Utilities &#151;
     0.0%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FirstLight Power Resources, Inc. Term
     B Advance</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(First
     Lien), 2.75%, 11/01/13</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">325</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">306,439</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Multiline Retail
     &#151; 0.8%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99 Cents Only Stores, Term Loan B, 6.00%
     &#151; 7.00%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/11/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">915</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">920,883</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hema Holding BV:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Second Lien Term
     Loan, 5.69%, 1/05/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,600</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,013,661</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 2.69%,
     7/06/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">338</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">434,148</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 3.44%,
     7/05/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">338</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">431,894</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,800,586</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Oil, Gas &amp; Consumable
     Fuels &#151; 0.9%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gibson Energy, Term Loan B, 5.75%, 6/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,493</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,494,052</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Obsidian Natural Gas Trust, Term Loan,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 11/02/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,933</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,952,850</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,446,902</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Paper &amp; Forest
     Products &#151; 0.3%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NewPage Corp., Term Loan, 8.00%, 3/07/13</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,450</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,460,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Verso Paper Finance Holdings LLC, Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.79% &#151; 7.54%,
     2/01/13 (j)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">710</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">355,082</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,815,957</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Pharmaceuticals &#151;
     1.0%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aptalis Pharma, Inc., Term Loan B, 5.50%,
     2/10/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,485</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,472,378</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pharmaceutical Product Development,
     Inc.,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 6.25%,
     12/05/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,235</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,245,806</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Taminco Global Chemical Corp., New Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%, 2/15/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">675</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">677,774</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valeant Pharmaceuticals International,
     Add-on Term</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Loan B, 3.75%, 2/08/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,615</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,609,961</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Warner Chilcott Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-1, 4.25%,
     3/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">907</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">905,296</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-2, 4.25%,
     3/15/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">454</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">452,648</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,363,863</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Professional Services
     &#151; 0.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Emdeon, Inc., Term Loan B, 6.75%, 11/02/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,011,430</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fifth Third Processing Solutions LLC,
     Term Loan B</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(First Lien), 4.50%,
     11/03/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,640</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,641,202</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,652,632</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Real Estate Investment
     Trusts (REITs) &#151; 0.6%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Istar
     Financial, Inc., Term Loan A1, 5.00%, 6/28/13</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,022</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,003,854</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Real Estate Management
     &amp; Development &#151; 0.5%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Realogy
     Corp., Extended Term Loan, 4.77%, 10/10/16</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,099</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,875,786</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD STYLE="width: 59%"></TD>
     <TD STYLE="width: 40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Limited Duration Income Trust (BLW)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating
     Rate Loan Interests (b)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Road &amp; Rail &#151;
     0.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">RailAmerica,
     Inc., Term Loan B, 1.00%, 2/27/19</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,390</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: #000000 1px solid; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,384,025</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Semiconductors &amp;
     Semiconductor Equipment &#151; 0.3%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Freescale Semiconductor, Inc., Extended</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 4.52%,
     12/01/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,053</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,025,813</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NXP B.V., Term Loan A-2, 5.50%, 3/03/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">739</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">732,986</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,758,799</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Software &#151; 0.3%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bankruptcy Management Solutions, Inc.,
     Term Loan</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(First Lien), 7.50%,
     8/20/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">719</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">152,881</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Infor Enterprise Solutions Holdings,
     Inc., Extended</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Initial Term Loan,
     1.00%, 7/28/15</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">765</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">961,059</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sophia, LP, Term Loan B, 6.25%, 7/19/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">920</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">929,586</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,043,526</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Specialty Retail
     &#151; 1.9%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Academy Ltd., Term Loan, 6.00%, 8/03/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,800</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,799,802</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Burlington Coat Factory Warehouse Corp.,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 6.25%,
     2/23/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">575</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">574,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Claire's Stores, Inc., Term Loan B,
     2.99% &#151; 3.30%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/29/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,005</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">952,295</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">General Nutrition Centers, Inc., Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.25%, 3/02/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,875</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,869,450</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Gymboree Corp., Term Loan, 5.00%,
     2/23/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">595</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">559,449</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Michaels Stores, Inc.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan
     B3, 5.13%, 7/29/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,870</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,858,899</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-2, 5.13%,
     7/29/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,098</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,091,567</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Petco Animal Supplies, Inc., Term Loan
     B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.50%, 11/24/17</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,213</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,207,010</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Toys &#145;R&#146; Us Delaware, Inc.,
     Term Loan B1,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.00%, 9/01/16</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,878</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,880,163</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,793,135</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Trading Companies
     &amp; Distributors &#151; 0.0%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Beacon Sales Acquisition, Inc., Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.24%
     &#151; 4.00%, 9/30/13</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">118</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115,601</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Wireless Telecommunication
     Services &#151; 1.7%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Crown Castle International Corp., Term
     Loan B,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 1/31/19</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,020</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,015,359</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Digicel International, Tranche A, 3.13%,
     3/30/12</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">169</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">167,792</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MetroPCS Wireless, Inc., Term Loan B-3,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00% &#151; 4.06%,
     3/16/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,037</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,028,719</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vodafone Americas Finance 2, Inc., Term
     Loan,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.88%, 8/11/15 (j)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,583</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,583,337</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,795,207</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Floating Rate Loan Interests &#151; 42.3%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">267,783,969</FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Non-Agency
     Mortgage-Backed Securities</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Collateralized Mortgage
     Obligations &#151; 3.8%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Adjustable Rate Mortgage Trust, Series
     2007-1,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Class 3A21, 5.67%,
     3/25/37 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,089</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,934,550</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citicorp Mortgage Securities, Inc.,
     Series 2006-2,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Class 1A7, 5.75%,
     4/25/36</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,126</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,129,019</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Countrywide Alternative Loan Trust,
     Series 2005-54CB,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Class 3A4, 5.50%,
     11/25/35</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,314</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,453,626</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Countrywide Home Loan Mortgage Pass-Through
     Trust:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2005-17, Class
     1A6, 5.50%, 9/25/35</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,652</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,546,131</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2006-17, Class
     A2, 6.00%, 12/25/36</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,921</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,157,440</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-16, Class
     A1, 6.50%, 10/25/37</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,577</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,301,901</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-HY5,
     Class 3A1, 5.83%, 9/25/37 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,128</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,439,433</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GSR Mortgage Loan Trust, Series 2005-AR5,
     Class 2A3,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.78%, 10/25/35 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,558</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,890,079</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Non-Agency
     Mortgage-Backed Securities</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Collateralized Mortgage
     Obligations (concluded)</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan Stanley Reremic Trust, Series
     2010-R4,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Class
     4A, 0.47%, 2/26/37 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,534</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: #000000 1px solid; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,432,436</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,284,615</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Commercial Mortgage-Backed
     Securities &#151; 9.9%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Banc of America Commercial Mortgage,
     Inc. (b):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-3, Class
     A2, 5.63%, 6/10/49</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,958</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,994,450</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-4, Class
     A4, 5.72%, 2/10/51</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,150</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,473,652</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Centre Parcs Mortgage Finance Plc, Series
     2007-1,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Class A2, 3.13%, 10/10/18</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,943</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,088,699</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citigroup/Deutsche Bank Commercial Mortgage
     Trust,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-CD4, Class
     A2B, 5.21%, 12/11/49</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">812</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">820,695</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Mortgage Capital Certificates:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2006-C5, Class
     AM, 5.34%, 12/15/39</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,440</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,441,226</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-C2, Class
     A2, 5.45%, 1/15/49 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">940</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">952,129</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-C3, Class
     A2, 5.71%, 6/15/39 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,236</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,245,906</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-C4, Class
     A3, 5.79%, 9/15/39 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,815</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,975,739</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-C5, Class
     AAB, 5.62%, 9/15/40 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,085</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,257,555</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Stay America Trust, Series
     2010-ESHA,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Class C, 4.86%, 11/05/27
     (a)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,320</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,364,509</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">First Union Commercial Mortgage Securities,
     Inc.,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 1997-C2, Class
     G, 7.50%, 11/18/29 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,310</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,479,555</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Greenwich Capital Commercial Funding
     Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2006-GG7,
     Class AM, 5.88%, 7/10/38 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,610</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,685,823</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-GG9,
     Class A4, 5.44%, 3/10/39</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,110</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,342,524</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GS Mortgage Securities Corp. II, Series
     2006-GG6,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Class AM, 5.62%, 4/10/38
     (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,680</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,830,516</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan Chase Commercial Mortgage Securities
     Corp.:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2004-LN2,
     Class A2, 5.12%, 7/15/41</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,315</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,477,654</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-CB18,
     Class A4, 5.44%, 6/12/47</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,110</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,371,933</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-CB19,
     Class A4, 5.73%, 2/12/49 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,140</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,428,376</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">LB-UBS Commercial Mortgage Trust, Series
     2007-C6,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Class A4, 5.86%, 7/15/40
     (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,395</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,845,024</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan Stanley Capital I, Series 2007-IQ15,
     Class A2,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.84%, 6/11/49 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,007</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,026,356</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Titan Europe Plc, Series 2006-4FSX,
     Class A1,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.14%, 9/03/14 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">413</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">631,388</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wachovia Bank Commercial Mortgage Trust
     (b):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-C33,
     Class A2, 5.85%, 2/15/51</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,527</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,623,354</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-C33,
     Class A4, 5.90%, 2/15/51</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,030</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,237,880</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,594,943</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Non-Agency Mortgage-Backed Securities &#151; 13.7%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">86,879,558</FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD colSpan=2 align=center><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Beneficial</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD colSpan=2 align=center><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Interest</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Other
     Interests (l)</B></FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=center><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Auto Components &#151;
     0.0%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lear
     Corp. Escrow</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Financial
     Services &#151; 0.2%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JG
     Wentworth LLC Preferred Equity Interests (c)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,361,513</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Household Durables
     &#151; 0.0%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Berkline
     Benchcraft Equity LLC</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Other Interests &#151; 0.2%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,371,513</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
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<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD STYLE="width: 59%"></TD>
     <TD STYLE="width: 40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Limited Duration Income Trust (BLW)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>(Percentages
     shown are based on Net Assets)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Preferred
     Securities</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Preferred
     Stocks &#151; 0.1%</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Auto Components &#151;
     0.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; width: 65%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dana
     Holding Corp.,0.00% (a)(c)(h)</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; width: 11%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,000</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: Black 1pt solid; width: 6%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">807,750</FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Trust
     Preferred &#151; 0.4%</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Diversified Financial
     Services &#151; 0.4%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GMAC
     Capital Trust I, Series 2, 8.13%, 2/15/40</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">89,360</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,090,106</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Preferred Securities &#151; 0.5%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,897,856</FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Taxable
     Municipal Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">State of California, GO:</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 4/01/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,075</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,151,830</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.10%, 8/01/14</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,225</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,334,759</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">State of California, GO, Various Purpose
     3,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mandatory Put Bonds,
     5.65%, 4/01/39 (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">455</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">479,334</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">State
     of Illinois, GO, 3.32%, 1/01/13</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,075</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,178,276</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Taxable Municipal Bonds &#151; 1.4%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,144,199</FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>US
     Government Sponsored Agency Securities</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Collateralized Mortgage
     Obligations &#151; 0.6%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Freddie Mac Mortgage-Backed Securities,
     Series 3986,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Class
     M, 4.50%, 9/15/41</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,446</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,682,719</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Interest Only Collateralized
     Mortgage Obligations &#151; 0.9%</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fannie Mae Mortgage-Backed Securities,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2010-126, Class
     UI, 5.50%, 10/25/40</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,233</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,200,203</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Freddie Mac Mortgage-Backed Securities,
     Series K706,</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Class X1, 1.60%, 10/25/18
     (b)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,000</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,915,540</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,115,743</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Mortgage-Backed Securities
     &#151; 7.8%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fannie Mae Mortgage-Backed Securities
     (e):</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00% , 7/01/20 &#151;
     8/01/23</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,867</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,091,459</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.50%, 8/01/26</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,518</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,251,602</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Freddie Mac Mortgage-Backed Securities,
     4.50%,</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/01/25 (e)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,205</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,773,262</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,116,323</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: Black 2pt solid" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     US Government Sponsored Agency Securities &#151; 9.3%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,914,785</FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>US
     Treasury Obligations &#151; 0.0%</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US Treasury
     Note, 0.38%, 7/31/13 (e)</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145,249</FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Warrants
     (m)</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Media &#151; 0.1%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cumulus
     Media, Inc. (Expires 3/26/19)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,701</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">373,426</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Software &#151; 0.0%</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bankruptcy Management Solutions, Inc.</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(Expires 9/29/17)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">435</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HMH Holdings/EduMedia (Expires 3/09/17)</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">210</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
     Warrants &#151; 0.1%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">373,428</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Long-Term Investments</B></FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(Cost
     &#151; $864,593,344) &#151; 136.7%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">865,328,167</FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-right: 6pt"></TD>
     <TD COLSPAN="2" STYLE="padding-right: 4"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Short-Term
     Securities</B></FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: center; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-indent: 30px; text-align: center; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BlackRock Liquidity Funds, TempFund,</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-indent: 6px; text-align: left; width: 67%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Institutional
     Class, 0.11% (n)(o)</FONT></TD>
    <TD STYLE="width: 7%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; width: 11%; padding-right: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,291</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: Black 1pt solid; width: 4%; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid; width: 9%; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,291</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Short-Term Securities</B></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(Cost
     &#151; $166,291) &#151; 0.0%</B></FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,291</FONT></TD></TR>
<TR>
     <TD COLSPAN="5"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="border-bottom: #394C87 4pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Options
     Purchased</B></FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center; padding-right: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Contracts</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>Over-the-Counter
     Call Options &#151; 0.0%</B></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Marsico Parent Superholdco LLC, Strike
     Price</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD 942.86, Expires
     12/14/19, Broker</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-indent: 6px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goldman
     Sachs Bank USA</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Options Purchased</B></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(Cost
     &#151; $44,978) &#151; 0.0%</B></FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; padding-right: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Investments (Cost &#151; $864,804,613)
     &#151; 136.7%</B></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">865,494,458</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Liabilities in Excess of Other Assets
     &#151; (36.7)%</B></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(232,582,471)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Net Assets &#151; 100.0%</B></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">632,911,987</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(a)</FONT></TD><TD STYLE="width: 5pt; border-top: Black 1px solid"></TD><TD STYLE="border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Security
                                                                               exempt from registration pursuant to Rule 144A
                                                                               under the Securities Act of 1933. These securities
                                                                               may be resold in transactions exempt from registration
                                                                               to qualified institutional investors.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(b)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Variable
                                                                               rate security. Rate shown is as of report date.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(c)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-income
                                                                               producing security.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(d)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Restricted
                                                                               security as to resale. As of report date the Portfolio
                                                                               held 2.1% of its net assets, with a current value
                                                                               of $8,353,516 and an original cost of $4,028,721
                                                                               in these securities.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(e)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">All
                                                                               or a portion of security has been pledged as collateral
                                                                               in connection with open reverse repurchase agreements.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(f)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Represents
                                                                               a step-down bond that pays an initial coupon rate
                                                                               for the first period and then a lower coupon rate
                                                                               for the following periods. Rate shown is as of
                                                                               report date.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(g)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Represents
                                                                               a zero-coupon bond. Rate shown reflects the current
                                                                               yield as of report date.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(h)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Convertible
                                                                               security.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(i)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">When-issued
                                                                               security. Unsettled when-issued transactions were
                                                                               as follows:</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized<BR>
    Appreciation</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 56%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bank of America Securities</FONT></TD><TD STYLE="width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,952,225</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">56,913</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital Inc.</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">685,006</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,288</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citigroup Global Markets, Inc.</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">219,569</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,569</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goldman Sachs &amp; Co.</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,995,000</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan Securities, Inc.</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,278,210</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,960</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan Stanley Co.</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,584,786</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,786</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wells
    Fargo Securities</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">480,760</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,760</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(j)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Represents
                                                                               a payment-in-kind security which may pay interest/dividends
                                                                               in additional par/shares.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(k)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Issuer
                                                                               filed for bankruptcy and/or is in default of interest
                                                                               payments.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(l)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Other
                                                                               interests represent beneficial interests in liquidation
                                                                               trusts and other reorganization or private entities.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(m)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Warrants
                                                                               entitle the Fund to purchase a predetermined number
                                                                               of shares of common stock and are non-income producing.
                                                                               The purchase price and number of shares are subject
                                                                               to adjustment under certain conditions until the
                                                                               expiration date, if any.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(n)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investments
                                                                               in companies considered to be an affiliate of the
                                                                               Fund during the period, for purposes of Section
                                                                               2(a)(3) of the 1940 Act, were as follows:</FONT></TD>
</TR></TABLE>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="25%" align=center></TD>
     <TD width="20%" align=center></TD>
     <TD width="18%" align=center></TD>
     <TD width="21%" align=center></TD>
     <TD width="13%" align=center></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Affiliate</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares
     Held<BR>
     at August 31,<BR>
     2011</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Net<BR>
     Activity</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares
     Held<BR>
     at February 29,<BR>
     2012</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Income</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BlackRock Liquidity</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 12px" align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Funds, TempFund,</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 12px" align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Institutional
     Class</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,229,778</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,063,487)</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,291</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$ 2,324</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(o)</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Represents
                                                                               the current yield as of report date.</FONT></TD>
</TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
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<TR>
     <TD STYLE="width: 59%"></TD>
     <TD STYLE="width: 40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Limited Duration Income Trust (BLW)</B></FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reverse
                                                                                  repurchase agreements outstanding as of February
                                                                                  29, 2012 were as follows:</FONT></TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD COLSPAN="2" STYLE="text-align: center"></TD>
     <TD COLSPAN="2" STYLE="text-align: center"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Counterparty</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Interest<BR>
     Rate</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Trade<BR>
     Date</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Maturity<BR>
     Date</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Net
     Closing<BR>
     Amount</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Face<BR>
     Amount</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left; width: 16%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(USA)
     LLC</FONT></TD>
     <TD STYLE="text-align: center; width: 12%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.40%</FONT></TD>
     <TD STYLE="text-align: center; width: 12%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/02/11</FONT></TD>
     <TD STYLE="text-align: center; width: 16%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD STYLE="text-align: left; width: 8%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 7%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,020,161</FONT></TD>
     <TD STYLE="text-align: left; width: 7%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 6%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,011,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.55%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/02/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,897,312</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,890,663</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capital, Inc.</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/05/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,076,591</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,072,188</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.50%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/05/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">736,056</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">735,177</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bank AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.05%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/05/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">985,681</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">985,565</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BNP Paribas</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities Corp.</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;0.37%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/09/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,578,182</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,577,355</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/09/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">687,032</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">686,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bank AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.09%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/09/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145,562</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145,544</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/10/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">624,832</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">624,269</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/10/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,746,708</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,745,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.40%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/10/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,887,246</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,885,675</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.45%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/10/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">729,822</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">729,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.54%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/10/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,845,936</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,844,580</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.55%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/10/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,645,227</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,642,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/10/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,709,154</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,699,687</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capital, Inc.</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.40%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/13/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,107,128</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,102,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.38%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/13/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,639,267</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,637,462</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/13/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,220,120</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,207,215</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,368,990</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,368,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.20%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/20/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,306,978</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,306,687</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/24/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,063,972</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,063,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bank AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(12.00)%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/25/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,076,933</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,101,450</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capital, Inc.</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.40%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/30/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,459,151</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,452,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/30/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,035,160</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,034,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bank AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.75)%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/30/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,319,200</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,320,650</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.00%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/30/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">641,138</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">641,138</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/31/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,033,533</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,032,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capital, Inc.</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.25)%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/02/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">429,797</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">430,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/02/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">924,525</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">924,075</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.25)%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/02/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,418,232</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,419,563</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capital, Inc.</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/08/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,127,295</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,126,110</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/13/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,345,690</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,345,170</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capital, Inc.</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/14/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">347,237</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">347,150</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/15/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,596,036</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,595,275</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bank AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.24%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/15/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/15/12</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,217,887</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,206,275</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.25)%</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/15/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,091,894</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,092,000</FONT></TD></TR>
<TR height=20>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD COLSPAN="2" STYLE="text-align: right"></TD>
     <TD COLSPAN="2" STYLE="text-align: right"></TD></TR>
</TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reverse
                                                                                  repurchase agreements outstanding as of February
                                                                                  29, 2012 were as follows (concluded):</FONT></TD>
</TR></TABLE>



 <BR>

<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD COLSPAN="2" STYLE="text-align: center; padding-right: 6"></TD>
     <TD COLSPAN="2" STYLE="text-align: center"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Counterparty</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Interest<BR>
     Rate</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><b>Trade<BR>
Date</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Maturity<BR>
     Date</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center; padding-right: 6; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Net
     Closing<BR>
     Amount</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Face<BR>
     Amount</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left; width: 16%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(USA)
     LLC</FONT></TD>
     <TD STYLE="text-align: center; width: 12%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
     <TD STYLE="text-indent: 12px; text-align: center; width: 12%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/16/12</FONT></TD>
     <TD STYLE="text-align: center; width: 18%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD STYLE="text-align: left; width: 6%; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,571,612</FONT></TD>
     <TD STYLE="text-align: left; width: 5%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 6%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,571,287</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.38%</FONT></TD>
     <TD STYLE="text-indent: 12px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/16/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,445,085</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,444,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
     <TD STYLE="text-indent: 12px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/16/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,039,699</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,036,650</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.25%</FONT></TD>
     <TD STYLE="text-indent: 12px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/16/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">693,283</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">693,225</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capital, Inc.</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
     <TD STYLE="text-indent: 12px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/17/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,397,927</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,397,725</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.40%</FONT></TD>
     <TD STYLE="text-indent: 12px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/17/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,093,646</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,093,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capital, Inc.</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.40%</FONT></TD>
     <TD STYLE="text-indent: 12px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/28/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,374,076</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,374,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capital, Inc.</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
     <TD STYLE="text-indent: 12px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/28/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,418,125</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,417,793</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
     <TD STYLE="text-indent: 12px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/28/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,394,653</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,394,620</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capital, Inc.</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.25)%</FONT></TD>
     <TD STYLE="text-indent: 12px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/29/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,344,991</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,345,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.55%</FONT></TD>
     <TD STYLE="text-indent: 12px; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/29/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,764,483</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,764,410</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">238,623,245</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom; border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">238,561,283</FONT></TD></TR>
</TABLE>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Financial
                                                                                  futures contracts purchased as of February 29,
                                                                                  2012 were as follows:</FONT></TD>
</TR></TABLE>



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

<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="text-align: center; vertical-align: bottom; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Notional</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Unrealized</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Contracts</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Issue</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Exchange</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Expiration</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Appreciation</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90-Day</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chicago</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">March</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center; width: 11%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro-Dollar</FONT></TD>
     <TD STYLE="text-align: center; width: 18%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mercantile</FONT></TD>
     <TD STYLE="text-align: center; width: 16%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2012</FONT></TD>
     <TD STYLE="text-align: center; width: 24%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD 2,986,200</FONT></TD>
     <TD STYLE="text-align: left; width: 10%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,317</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90-Day</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chicago</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">June</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro-Dollar</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mercantile</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2012</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD 1,991,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,678</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90-Day</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chicago</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">September</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro-Dollar</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mercantile</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2012</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD 1,990,200</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,278</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90-Day</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chicago</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">March</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro-Dollar</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mercantile</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2013</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD 1,988,700</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,978</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90-Day</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chicago</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">June</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro-Dollar</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mercantile</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2013</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD 1,490,925</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,009</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90-Day</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chicago</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">September</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro-Dollar</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mercantile</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2013</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD 1,490,250</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26,009</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90-Day</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chicago</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">December</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro-Dollar</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mercantile</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2013</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD 1,489,275</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,708</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90-Day</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chicago</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">March</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro-Dollar</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mercantile</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2014</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD
     1,488,300</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31,033</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">169,010</FONT></TD></TR>
</TABLE>

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

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Financial
                                                                                  futures contracts sold as of February 29, 2012
                                                                                  were as follows:</FONT></TD>
</TR></TABLE>



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

<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 11%; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; width: 14%; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; width: 14%; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; width: 16%; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 24%; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Notional</B></FONT></TD>
     <TD STYLE="text-align: center; width: 19%; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Unrealized</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Contracts</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Issue</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Exchange</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Expiration</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Depreciation</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro-Bund</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Eurex</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">March</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR 2,098,350</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(45,571)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Futures</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2012</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 29; Value: 13 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">FEBRUARY 29, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->41<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_30"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD STYLE="width: 59%"></TD>
     <TD STYLE="width: 40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(continued)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Limited Duration Income Trust (BLW)</B></FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Foreign
                                                                                  currency exchange contracts as of February 29,
                                                                                  2012 were as follows:</FONT></TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD></TD>
     <TD STYLE="padding-right: 6"></TD>
     <TD></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"></TD>
     <TD COLSPAN="2"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1px solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Unrealized</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Currency</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Currency</B></FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Settlement
     </B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Appreciation</B>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Purchased</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Sold</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Counterparty</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Date</B></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(Depreciation)</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 6%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6; width: 15%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">335,000</FONT></TD>
     <TD STYLE="text-align: left; width: 7%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6; width: 16%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">533,400</FONT></TD>
     <TD STYLE="text-align: center; width: 22%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom; width: 20%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/02/12</FONT></TD>
     <TD STYLE="text-align: left; width: 4%; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(449)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;27,645,464</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;18,034,500</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/11/12</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,037,237)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">533,251</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">335,000</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/11/12</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">456</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,480,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,962,153</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bank AG</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/18/12</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,007</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">605,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">788,565</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Royal Bank</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">of Scotland Plc</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/18/12</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,622</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;26,708,742</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;20,732,500</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citibank NA</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/18/12</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(918,160)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">752,981</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">570,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS
     AG</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/18/12</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,567)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-right: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,934,328)</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit
                                                                                  default swaps on single-name issues &#151; sold
                                                                                  protection outstanding as of February 29, 2012
                                                                                  were as follows:</FONT></TD>
</TR></TABLE>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="9%" align=center></TD>
     <TD width="12%" align=center></TD>
     <TD width="18%" align=center></TD>
     <TD width="14%" align=center></TD>
     <TD width="15%" align=center></TD>
     <TD width="16%" align=center></TD>
     <TD width="15%" align=center></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Issuer</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Receive<BR>
     Fixed<BR>
     Rate</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Counterparty</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Expiration<BR>
     Date</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Issuer<BR>
     Credit<BR>
     Rating<SUP>1</SUP></B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Notional<BR>
     Amount<BR>
     (000)<SUP>2</SUP></B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Unrealized<BR>
     Depreciation</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aviva</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USA</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=center><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="LEFT" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corp.</FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.00%</FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bank AG</FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/25/12</FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Not Rated</FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;USD 4,700</FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;$ (2,530)</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>1</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Using
                                                                                        the S&amp;P&#146;s rating.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>2</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
                                                                                        maximum potential amount the Fund may
                                                                                        pay should a negative credit event take
                                                                                        place as defined under the terms of agreement.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit
                                                                                  default swaps on traded indexes &#151; buy protection
                                                                                  outstanding as of February 29, 2012 were as
                                                                                  follows:</FONT></TD>
</TR></TABLE>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="18%" align=center></TD>
     <TD width="10%" align=center></TD>
     <TD width="20%" align=center></TD>
     <TD width="13%" align=center></TD>
     <TD width="16%" align=center></TD>
     <TD width="18%" align=center></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Index</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Pay<BR>
     Fixed<BR>
     Rate</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Counterparty</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Expiration<BR>
     Date</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Notional<BR>
     Amount<BR>
     (000)</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Unrealized<BR>
     Depreciation</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dow Jones CDX</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">North America</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investment</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Grade Index</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=center><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan Stanley</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 16</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.00%</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&amp; Co.,
     Inc.</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/20/16</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD 7,700</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 6px" align=center><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$
     (5,519)</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit
                                                                                  default swaps on traded indexes &#151; sold
                                                                                  protection outstanding as of February 29, 2012
                                                                                  were as follows:</FONT></TD>
</TR></TABLE>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD width="9%"></TD>
     <TD width="11%"></TD>
     <TD width="20%"></TD>
     <TD width="14%"></TD>
     <TD width="13%"></TD>
     <TD width="16%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Issuer</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Receive<BR>
     Fixed<BR>
     Rate</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Counterparty</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Expiration<BR>
     Date</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Issuer<BR>
     Credit<BR>
     Rating<SUP>3</SUP></B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Notional<BR>
     Amount<BR>
     &nbsp;(000)<SUP>4</SUP></B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Unrealized<BR>
     Appreciation</B>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dow Jones CDX</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">North America</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investment</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Grade Index</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=center><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan Stanley</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD colSpan=2 align=left><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series
     16</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;1.00%</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;&amp;
     Co., Inc.</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/20/16</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB+</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD
     7,700</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$
     125,306&nbsp;</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>3</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Using
                                                                                        S&amp;P&#146;s rating of the underlying
                                                                                        securities.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>4</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
                                                                                        maximum potential amount the Fund may
                                                                                        pay should a negative credit event take
                                                                                        place as defined under the terms of agreement.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
                                                                                  Fund compliance purposes, the Fund&#146;s industry
                                                                                  classifications refer to any one or more of
                                                                                  the industry sub-classifications used by one
                                                                                  or more widely recognized market indexes or
                                                                                  rating group indexes, and/or as defined by Fund
                                                                                  management. These definitions may not apply
                                                                                  for purposes of this report, which may combine
                                                                                  such industry sub-classifications for reporting
                                                                                  ease.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 15pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fair
                                                                                  Value Measurements &#151; Various inputs are
                                                                                  used in determining the fair value of investments
                                                                                  and derivative financial instruments. These
                                                                                  inputs are categorized into a disclosure hierarchy
                                                                                  consisting of three broad levels for financial
                                                                                  statement purposes as follows:</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
                                                                                  1 &#151; unadjusted price quotations in active
                                                                                  markets/exchanges for identical assets and liabilities</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
                                                                                  2 &#151; other observable inputs (including,
                                                                                  but not limited to: quoted prices for similar
                                                                                  assets or liabilities in markets that are active,
                                                                                  quoted prices for identical or similar assets
                                                                                  or liabilities in markets that are not active,
                                                                                  inputs other than quoted prices that are observable
                                                                                  for the assets or liabilities (such as interest
                                                                                  rates, yield curves, volatilities, prepayment
                                                                                  speeds, loss severities, credit risks and default
                                                                                  rates) or other market-corroborated inputs)</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#149;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
                                                                                  3 &#151; unobservable inputs based on the best
                                                                                  information available in the circumstances,
                                                                                  to the extent observable inputs are not available
                                                                                  (including the Fund's own assumptions used in
                                                                                  determining the fair value of investments and
                                                                                  derivative financial instruments)</FONT></TD>
</TR></TABLE>
<P STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Changes
in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization
of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment
and derivative financial instrument and does not necessarily correspond to the Fund's perceived risk of investing in those securities.
For information about the Fund's policy regarding valuation of investments and derivative financial instruments and other significant
accounting policies, please refer to Note 1 of the Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The following tables summarize the inputs
used as of February 29, 2012 in determining the fair valuation of the Fund's investments and derivative financial instruments:</FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valuation
    Inputs</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
    1</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
    2</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
    3</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Assets:</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investments:</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Long Term</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investments:</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset-Backed</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 40%; text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26,296,583</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,941,978</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,238,561</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Common</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Stocks</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,365,747</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,031,532</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,397,279</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bonds</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">390,180,043</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,727</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">390,181,770</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Loan Interests</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">237,920,561</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,863,408</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">267,783,969</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-Agency</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mortgage-Backed</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">84,447,122</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,432,436</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">86,879,558</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Other Interests</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,371,513</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,371,513</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Preferred</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,090,106</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">807,750</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,897,856</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Taxable Municipal</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bonds</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,144,199</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,144,199</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US Government</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sponsored</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Agency</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,914,785</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,914,785</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US Treasury</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Obligations</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145,249</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145,249</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Warrants</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">373,426</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">373,428</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Short-Term</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 6px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,291</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,291</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,256,397</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">816,595,465</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,642,596</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">865,494,458</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
</TABLE>
<BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 30; Value: 13 -->
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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_31"></A><BR>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR>
     <TD STYLE="width: 59%"></TD>
     <TD STYLE="width: 40%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 14pt; color: rgb(57,76,135)"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87">Consolidated
     Schedule of Investments <FONT STYLE="font-size: 14pt">(concluded)</FONT></FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; color: #394c87"><B>BlackRock
     Limited Duration Income Trust (BLW)</B></FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valuation
    Inputs</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
    1</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
    2</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
    3</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Derivative Financial Instruments<SUP>1</SUP></FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Assets:</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Forward currency</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">exchange</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 40%; text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">contracts</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,085</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,085</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest rate</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">contracts</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">169,010</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">169,010</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit contracts</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">125,306</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">125,306</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Liabilities:</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Forward currency</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">exchange</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">contracts</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,962,413</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,962,413</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest rate</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12px"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">contracts</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(45,571</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(45,571</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit contracts</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,519</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,530</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,049</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">123,439</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,814,541</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,530</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,693,632</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>1</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Derivative
                                                                                        financial instruments are swaps, financial
                                                                                        futures contracts, foreign currency exchange
                                                                                        contracts and options. Swaps, financial
                                                                                        futures contracts and foreign currency
                                                                                        exchange contracts are valued at the unrealized
                                                                                        appreciation/depreciation on the instrument
                                                                                        and options are shown at value.</FONT></TD>
</TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: 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>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>&nbsp;</B></FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>&nbsp;</B></FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Asset-<BR>
    Backed<BR> Securities</B></FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>&nbsp;</B></FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Common<BR>
    Stocks</B></FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>&nbsp;</B></FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Corporate<BR>
    Bonds</B></FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>&nbsp;</B></FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Floating<BR>
    Rate Loan<BR>
    Interests</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>&nbsp;</B></FONT></TD>
    <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Non-Agency<BR>
    Mortgage-<BR>
    Backed</B></FONT></TD><TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>&nbsp;</B></FONT></TD>
    <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Other<BR>
    Interests</B></FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>&nbsp;</B></FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Preferred<BR>
    Stocks</B></FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>&nbsp;</B></FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Warrants</B></FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>&nbsp;</B></FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Assets:</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 28%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Balance, as of <BR> &nbsp;&nbsp;&nbsp;&nbsp;August
    31, 2011</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,549,300</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,358,522</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">186,065</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,869,232</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,829,283</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,441,471</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">384,565</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">292,017</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,910,455</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Accrued discounts/premiums</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(114,026</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">704</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">191,091</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,826</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">81,595</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Net realized gain (loss)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(112,837</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">66,012</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(738,773</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,228</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,455</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">452,430</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(299,487</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Net change in unrealized</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;appreciation/depreciation<SUP>2</SUP></FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">287,032</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(979,326</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(57,054</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(363,969</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(19,519</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(79,790</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(384,565</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,597,195</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Purchases</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,663</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,514,114</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,832</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,644,609</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sales</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(714,172</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(194,000</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,659,732</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(413,382</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,455</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(452,430</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,435,171</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Transfers in<SUP>3</SUP></FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">580,599</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,235,101</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,815,700</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Transfers out<SUP>3</SUP></FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(953,319</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(48,924</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(12,183,656</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(292,011</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(13,477,910</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="37"></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Balance, as of</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;February 29, 2012</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,941,978</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,031,532</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,727</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,863,408</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,432,436</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,371,513</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,642,596</FONT></TD><TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>2</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: 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 investments
                                                                                        still held on February 29, 2012 was $(1,904,852).</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>3</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
                                                                                        Fund&#146;s policy is to recognize transfers
                                                                                        in and transfers out as of the beginning
                                                                                        of the period of the event or the change
                                                                                        in circumstances that caused the transfer.</FONT></TD>
</TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The following table is a reconciliation of
Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair value:</FONT></P>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD COLSPAN="2" STYLE="padding-right: 4"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: center; padding-right: 4; border-top: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Credit</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Contracts</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Liabilities:</B></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 82%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Balance, as of August 31,
     2011</FONT></TD>
     <TD STYLE="text-align: left; width: 3%; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="text-align: right; width: 14%; padding-right: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,846)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Accrued discounts/premiums</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Net realized gain (loss)</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Net change in unrealized appreciation/depreciation<SUP>4</SUP></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,316</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Purchases</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Issuances<SUP>5</SUP></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sales</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Settlements<SUP>6</SUP></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Transfers in<SUP>7</SUP></FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Transfers out<SUP>7</SUP></FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Balance,
     as of February 29, 2012</B></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,530)</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>4</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Included
                                                                                        in the related net change in unrealized
                                                                                        appreciation/depreciation in the Statement
                                                                                        of Operations. The change in unrealized
                                                                                        appreciation/depreciation on derivative
                                                                                        financial instruments still held on February
                                                                                        29, 2012 was $1,316.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>5</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Issuances
                                                                                        represent upfront cash received on certain
                                                                                        derivative financiaL instruments.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>6</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Settlements
                                                                                        represent periodic contractual cash flows
                                                                                        and/or cash flows to terminate certain
                                                                                        derivative financial instruments.</FONT></TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 35pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>7</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
                                                                                        Fund&#146;s policy is to recognize transfers
                                                                                        in and transfers out as of the beginning
                                                                                        of the period of the event or the change
                                                                                        in circumstances that caused thetransfer.</FONT></TD>
</TR></TABLE>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 0; text-indent: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">A
reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount
of Level 3 investments and derivatives at the beginning and/or end of the period in relation to net assets.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</FONT></P>


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<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87><A NAME="zza_007"></A>Statements of Assets and Liabilities</FONT></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
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    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
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    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>February 29, 2012 (Unaudited)</B></TD>
    <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock</B><BR>

<B>Defined</B><BR>

<B>Opportunity</B><BR>

<B>Credit Trust</B><BR>

<B>(BHL)</B></TD>
    <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock</B><BR>

<B>Diversified</B><BR>

<B>Income</B><BR>

<B>Strategies</B><BR>

<B>Fund, Inc.</B><BR>

<B>(DVF)</B> <B><SUP>1</SUP></B></TD>
    <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock</B><BR>

<B>Floating Rate</B><BR>

<B>Income</B><BR>

<B>Strategies</B><BR>

<B>Fund, Inc.</B><BR>

<B>(FRA)</B> <B><SUP>1</SUP></B></TD>
    <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock</B><BR>

<B>Limited</B><BR>

<B>Duration</B><BR>

<B>Income Trust</B><BR>

<B>(BLW)</B> <B><SUP>1</SUP></B></TD>
  </TR>


  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Assets</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>


  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Investments at value &#151; unaffiliated<SUP>2</SUP></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">160,404,755</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">171,554,843</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">350,269,669</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">865,328,167</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Investments at value &#151; affiliated<SUP>3</SUP></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,243,014</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,820,693</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,253,818</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">166,291</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Cash</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">50,310</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,173</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Investments sold receivable</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,439,908</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,817,838</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">12,150,475</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">36,085,380</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Principal paydown receivable</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">724,732</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">755,147</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,496,277</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,415,547</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Interest receivable</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">295,266</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">421,713</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">894,417</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,812,056</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Foreign currency at value<SUP>4</SUP></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">24,904</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">16,791</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">17,751</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">644,512</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Cash pledged as collateral for financial futures contracts</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">132,500</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Cash pledged as collateral for reverse repurchase agreements</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">300,000</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Unrealized appreciation on swaps</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">125,306</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Unrealized appreciation on foreign currency exchange contracts</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,894</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,053</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">11,875</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">28,085</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Swaps receivable</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">24,800</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dividends receivable &#151; unaffiliated</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,735</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Margin variation receivable</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,890</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Prepaid expenses</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,227</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,103</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">45,982</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Other assets</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">851,336</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 1pt; font-family: Arial, Helvetica, Sans-Serif">Total assets</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">169,139,473</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">181,452,615</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">368,108,558</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">912,971,587</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="13" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Liabilities</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>


  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Bank overdraft</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">144,275</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,664,840</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Reverse repurchase agreements</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">238,561,283</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Loan payable</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">35,000,000</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">40,000,000</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">78,000,000</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Investments purchased payable</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,831,719</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,633,751</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">16,590,429</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">35,489,322</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Unrealized depreciation on foreign currency exchange contracts</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">211,088</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">179,668</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">325,415</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,962,413</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Investment advisory fees payable</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">125,380</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">101,252</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">206,092</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">364,853</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Income dividends payable</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">52,848</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">37,493</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">73,968</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">93,077</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Interest expense payable</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">32,544</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">18,359</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">127,051</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">54,609</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Officer's and Directors' fees payable</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,032</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,874</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">15,585</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">228,607</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Deferred income</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,656</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,863</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,908</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">174,468</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Swaps payable</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">142,393</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Unrealized depreciation on swaps</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,049</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Other accrued expenses payable</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">255,499</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">70,368</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">110,220</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">315,686</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Total liabilities</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">43,664,041</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">49,052,628</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">95,456,668</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">280,059,600</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif"><B>Net Assets</B></TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">125,475,432</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">132,399,987</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">272,651,890</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">632,911,987</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="13" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Net Assets Consist of</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>


  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Paid-in capital<SUP>5,6,7</SUP></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">128,073,078</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">229,202,981</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">349,984,847</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">701,959,183</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Undistributed (distributions in excess of) net investment income</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">410,216</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(533,657</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">104,370</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,778,947</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Accumulated net realized loss</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(3,731,481</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(88,649,784</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(73,186,170</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(71,511,489</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net unrealized appreciation/depreciation</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">723,619</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(7,619,553</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(4,251,157</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(314,654</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif"><B>Net Assets</B></TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">125,475,432</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">132,399,987</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">272,651,890</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">632,911,987</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Net asset value, offering and redemption price per share</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">13.90</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10.68</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">14.76</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">17.14</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><SUP>1 </SUP>Consolidated Statement of Assets and Liabilities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif"><SUP>2 </SUP>Investments at cost &#151; unaffiliated</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">159,479,952</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">179,013,961</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">354,213,500</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">864,638,322</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif"><SUP>3 </SUP>Investments at cost &#151; affiliated</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,243,014</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,820,693</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,253,818</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">166,291</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif"><SUP>4 </SUP>Foreign currency at cost</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">24,523</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">16,557</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">17,503</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">638,919</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif"><SUP>5 </SUP>Par value per share</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.001</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.10</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.10</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.001</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif"><SUP>6 </SUP>Shares outstanding</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,027,106</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">12,401,086</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">18,467,299</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">36,923,585</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif"><SUP>7 </SUP>Shares authorized</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">unlimited</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">200 million</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">200 million</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">unlimited</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
</TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 1; Options: NewSection; Value: 44 -->
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<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87><A NAME="zza_008"></A>Statements of Operations</FONT></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"></TD>
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    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Six Months Ended February 29, 2012 (Unaudited)</B></TD>
    <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock</B><BR>

<B>Defined</B><BR>

<B>Opportunity</B><BR>

<B>Credit Trust</B><BR>

<B>(BHL)</B></TD>
    <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock</B><BR>

<B>Diversified</B><BR>

<B>Income</B><BR>

<B>Strategies</B><BR>

<B>Fund, Inc.</B><BR>

<B>(DVF)</B> <B><SUP>1</SUP></B></TD>
    <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock</B><BR>

<B>Floating Rate</B><BR>

<B>Income</B><BR>

<B>Strategies</B><BR>

<B>Fund, Inc.</B><BR>

<B>(FRA)</B> <B><SUP>1</SUP></B></TD>
    <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock</B><BR>

<B>Limited</B><BR>

<B>Duration</B><BR>

<B>Income Trust</B><BR>

<B>(BLW)</B> <B><SUP>1</SUP></B></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Investment Income</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="13" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Interest</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,864,969</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,153,487</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,864,074</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">26,678,155</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dividends &#151; unaffiliated</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">12,386</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">14,917</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">28,114</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">241,742</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dividends &#151; affiliated</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">278</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">221</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">469</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,478</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Total income</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,877,633</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,168,625</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,892,657</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">26,930,375</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>


  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="13" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Expenses</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Investment advisory</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">790,058</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">634,558</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,297,340</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,289,406</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Professional</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">79,446</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">80,847</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">96,667</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">131,705</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Borrowing costs<SUP>2</SUP></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">63,510</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">49,680</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">146,259</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Custodian</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">32,728</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">29,319</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">51,069</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">71,189</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Accounting services</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">19,949</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">19,174</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">31,216</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">54,733</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Transfer agent</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">13,472</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">13,155</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">23,804</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,070</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Printing</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,119</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">12,438</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">25,674</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">83,929</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Officer and Directors</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,770</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,217</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">14,656</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">33,212</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Registration</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,561</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,919</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,628</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,790</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Miscellaneous</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,384</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">11,733</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">19,318</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">32,439</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Total expenses excluding interest expense</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,030,997</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">861,040</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,710,631</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,712,473</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Interest expense</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">178,138</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">198,711</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">398,776</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">440,737</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Total expenses</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,209,135</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,059,751</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,109,407</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,153,210</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Less fees waived by advisor</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(185</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(125</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(310</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1,424</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Total expenses after fees waived</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,208,950</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,059,626</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,109,097</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,151,786</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net investment income</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,668,683</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,108,999</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,783,560</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">23,778,589</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="13" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Realized and Unrealized Gain (Loss)</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net realized gain (loss) from:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Investments</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(491,634</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(2,825,595</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(5,714,967</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(4,910,506</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Financial futures contracts</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,150</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Foreign currency transactions</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">602,568</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">526,348</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">865,796</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,988,127</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Options written</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">276,020</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Swaps</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(236,726</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">110,934</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(2,299,247</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(4,849,171</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1,881,935</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net change in unrealized appreciation/depreciation on:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Investments</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,509,886</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,744,746<SUP>3</SUP></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">18,217,669</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">27,398,647</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Financial futures contracts</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(39,630</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Foreign currency transactions</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(174,935</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(153,550</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(250,232</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1,348,200</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Options written</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">363,558</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Swaps</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">37,276</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Unfunded loan commitments</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">38,703</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">45,062</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">77,372</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">111,558</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,373,654</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,636,258</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">18,044,809</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">26,523,209</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Total realized and unrealized gain</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,484,588</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,337,011</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">13,195,638</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">24,641,274</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif"><B>Net Increase in Net Assets Resulting from Operations</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,153,271</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,446,010</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">21,979,198</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">48,419,863</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
</TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>1</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Consolidated Statement of Operations.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>2</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">See Note 6 of the Notes to Financial Statements for details of short-term borrowings.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>3</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Net of income tax of $19,690.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 2 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">FEBRUARY 29, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->45<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87><A NAME="zza_009"></A>Statements of Changes in Net Assets</FONT></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: center; padding-bottom: 1pt; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock Defined</B><BR>

<B>Opportunity Credit Trust (BHL)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock Diversified</B><BR>

<B>Income Strategies Fund, Inc. (DVF)</B></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Increase (Decrease) in Net Assets:</B></TD>
    <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Six Months</B><BR>

<B>Ended</B><BR>

<B>February 29,</B><BR>

<B>2012</B><BR>

<B>(Unaudited)</B></TD>
    <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Year Ended</B><BR>

<B>August 31,</B><BR>

<B>2011</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Six Months</B><BR>

<B>Ended</B><BR>

<B>February 29,</B><BR>

<B>2012</B><BR>

<B>(Unaudited)</B><B><SUP>1</SUP></B></TD>
    <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Year Ended</B><BR>

<B>August 31,</B><BR>

<B>2011</B></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Operations</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net investment income</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,668,683</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,713,890</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,108,999</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,340,837</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net realized gain (loss)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">110,934</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,153,352</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(2,299,247</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(3,171,498</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net change in unrealized appreciation/depreciation</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,373,654</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(6,154,792</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,636,258</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(458,676</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 1pt; font-family: Arial, Helvetica, Sans-Serif">Net increase in net assets resulting from operations</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">10,153,271</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">3,712,450</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">10,446,010</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">5,710,663</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="14" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Dividends and Distributions to Shareholders From</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net investment income</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(3,574,734</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(7,140,522</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(4,352,781</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(8,509,258</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tax return of capital</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(739,496</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 1pt; font-family: Arial, Helvetica, Sans-Serif">Decrease in net assets resulting from dividends and distributions to shareholders</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">(3,574,734</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">(7,140,522</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">(4,352,781</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">(9,248,754</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="14" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Capital Share Transactions</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 1pt; font-family: Arial, Helvetica, Sans-Serif">Reinvestment of dividends</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">263,352</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">460,151</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="14" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Net Assets</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Total increase (decrease) in net assets</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,578,537</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(3,164,720</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,093,229</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(3,077,940</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Beginning of period</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">118,896,895</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">122,061,615</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">126,306,758</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">129,384,698</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">End of period</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">125,475,432</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">118,896,895</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">132,399,987</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">126,306,758</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Undistributed (distributions in excess of) net investment income</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">410,216</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">316,267</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">(533,657</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">(252,833</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>
</TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>1</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Consolidated Statement of Changes in Net Assets.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 3 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->46<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">FEBRUARY 29, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Statements of Changes in Net Assets</FONT></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: center; padding-bottom: 1pt; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock Floating Rate</B><BR>

<B>Income Strategies Fund, Inc. (FRA)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock Limited Duration</B><BR>

<B>Income Trust (BLW)</B></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Increase (Decrease) in Net Assets:</B></TD>
    <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Six Months</B><BR>

<B>Ended</B><BR>

<B>February 29,</B><BR>

<B>2012</B><BR>

<B>(Unaudited)</B><B><SUP>1</SUP></B></TD>
    <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Year Ended</B><BR>

<B>August 31,</B><BR>

<B>2011</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Six Months</B><BR>

<B>Ended</B><BR>

<B>February 29,</B><BR>

<B>2012</B><BR>

<B>(Unaudited)</B><B><SUP>1</SUP></B></TD>
    <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Year Ended</B><BR>

<B>August 31,</B><BR>

<B>2011</B></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Operations</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net investment income</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,783,560</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">17,704,917</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">23,778,589</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">49,530,733</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net realized gain (loss)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(4,849,171</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,197,485</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1,881,935</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,272,761</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net change in unrealized appreciation/depreciation</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">18,044,809</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(8,915,990</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">26,523,209</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(17,061,349</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 1pt; font-family: Arial, Helvetica, Sans-Serif">Net increase in net assets resulting from operations</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">21,979,198</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">10,986,412</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">48,419,863</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">35,742,145</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="14" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Dividends and Distributions to Shareholders From</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net investment income</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(8,531,892</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(15,965,641</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(25,383,514</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(45,830,635</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tax return of capital</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1,072,049</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 1pt; font-family: Arial, Helvetica, Sans-Serif">Decrease in net assets resulting from dividends and distributions to shareholders</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">(8,531,892</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">(17,037,690</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">(25,383,514</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">(45,830,635</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="14" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Capital Share Transactions</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 1pt; font-family: Arial, Helvetica, Sans-Serif">Reinvestment of dividends</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">876,684</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">57,977</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">524,981</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="14" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Net Assets</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Total increase (decrease) in net assets</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">13,447,306</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(5,174,594</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">23,094,326</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(9,563,509</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Beginning of period</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">259,204,584</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">264,379,178</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">609,817,661</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">619,381,170</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">End of period</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">272,651,890</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">259,204,584</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">632,911,987</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">609,817,661</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Undistributed (distributions in excess of) net investment income</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">104,370</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">(138,319</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">2,778,947</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">4,392,851</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
</TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>1</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Consolidated Statement of Changes in Net Assets.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 4 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">FEBRUARY 29, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->47<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
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    <!-- Field: /Page -->
<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87><A NAME="zza_010"></A>Statements of Cash Flows</FONT></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Six Months Ended February 29, 2012 (Unaudited)</B></TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock</B><BR>

<B>Defined</B><BR>

<B>Opportunity</B><BR>

<B>Credit Trust</B><BR>

<B>(BHL)</B></TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock</B><BR>

<B>Diversified</B><BR>

<B>Income</B><BR>

<B>Strategies</B><BR>

<B>Fund, Inc.</B><BR>

<B>(DVF)</B> <B><SUP>1</SUP></B></TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock</B><BR>

<B>Floating Rate</B><BR>

<B>Income</B><BR>

<B>Strategies</B><BR>

<B>Fund, Inc.</B><BR>

<B>(FRA)</B> <B><SUP>1</SUP></B></TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock</B><BR>

<B>Limited</B><BR>

<B>Duration</B><BR>

<B>Income</B><BR>

<B>Trust</B><BR>

<B>(BLW)</B> <B><SUP>1</SUP></B></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Cash Provided by Operating Activities</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net increase in net assets resulting from operations</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,153,271</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,446,010</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">21,979,198</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">48,419,863</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Adjustments to reconcile net increase in net assets resulting from</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">operations to net cash provided by operating activities:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(Increase) decrease in interest receivable</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">69,713</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">201,548</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">170,253</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(225,992</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Increase in swap receivable</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(15,269</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Decrease in dividends receivable &#151; affiliated</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">623</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Increase in dividends receivable &#151; unaffiliated</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(735</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Increase in margin variation receivable</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(2,665</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Increase in other assets</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(81,748</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(Increase) decrease in prepaid expenses</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">17,953</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">13,067</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">36,494</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(6,586</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Decrease in investment advisory fees payable</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(15,555</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(12,835</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(22,526</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(28,460</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Decrease in interest expense payable</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(18,420</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(21,971</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(33,639</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(164,205</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Increase (decrease) in deferred income</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(3,798</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(2,894</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(7,684</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">174,468</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Decrease in other accrued expenses payable</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(60,025</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(74,866</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(169,812</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(131,047</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Increase in swaps payable</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">73,071</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Increase in cash pledged as collateral for financial futures contracts</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(54,000</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD NOWRAP STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Decrease in cash pledged as collateral for reverse repurchase agreements</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,695,000</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Increase in Officer's and Directors' fees payable</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,580</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,451</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">14,586</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">54,921</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net periodic and termination payments on swaps</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(236,726</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net realized and unrealized gain on investments</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(5,882,020</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(5,810,663</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(12,329,842</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(21,610,484</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Amortization of premium and accretion of discount on investments</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(643,798</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(217,571</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(825,130</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(506,765</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Paid-in-kind income</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(43,877</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(76,274</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(170,952</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(455,833</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Proceeds from sales of long-term investments</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">41,399,227</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">45,422,805</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">86,239,323</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">204,813,393</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Purchases of long-term investments</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(33,665,514</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(35,717,646</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(73,099,379</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(208,153,140</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net proceeds from sales (purchases) of short-term securities</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(12,261</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1,820,693</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,142,849</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,063,487</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 1pt; font-family: Arial, Helvetica, Sans-Serif">Cash provided by operating activities</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">11,301,476</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">12,335,468</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">23,923,739</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">28,621,171</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="13" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Cash Used for Financing Activities</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Cash receipts from borrowings</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">35,200,000</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">35,000,000</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">66,000,000</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">63,461,329</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Cash payments on borrowings</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(43,200,000</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(42,000,000</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(81,000,000</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(69,020,008</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Cash dividends paid</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(3,577,251</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(4,360,936</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(8,562,093</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(25,348,459</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Increase (decrease) in bank overdraft</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">144,275</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1,044,731</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(573,035</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,664,840</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 1pt; font-family: Arial, Helvetica, Sans-Serif">Cash used for financing activities</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">(11,432,976</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">(12,405,667</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">(24,135,128</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">(28,242,298</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="13" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="13" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Cash Impact from Foreign Exchange Fluctuations</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 1pt; font-family: Arial, Helvetica, Sans-Serif">Cash impact from foreign exchange fluctuations</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">813</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">618</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">147</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">5,688</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="13" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Cash and Foreign Currency</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net increase (decrease) in cash and foreign currency</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(130,687</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(69,581</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(211,242</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">384,561</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Cash and foreign currency at beginning of period</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">155,591</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">136,682</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">237,166</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">259,951</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Cash and foreign currency at end of period</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">24,904</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">67,101</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">25,924</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">644,512</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="13" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Cash Flow Information</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Cash paid during the period for interest</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">196,558</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">220,682</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">432,415</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">604,942</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="13" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Noncash Financing Activities</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="13" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Capital shares issued in reinvestment of dividends</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">57,977</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
</TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>1</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Consolidated Statement of Cash Flows.</TD>
</TR></TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 44pt; text-indent: 0pt">A Statement of Cash Flows
is presented when a Fund has a significant amount of borrowing during the year, based on the average borrowing outstanding in
relation to average total assets.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 5 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->48<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">FEBRUARY 29, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="width: 44%; font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="width: 55%; font-family: Arial, Helvetica, Sans-Serif"></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid; color: #394c87"><FONT color=#394c87><A NAME="zza_011"></A>Financial Highlights</FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>BlackRock Defined Opportunity Credit Trust (BHL)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD ROWSPAN="2" COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Six Months</B><BR>
<B>Ended</B><BR>
<B>February 29,</B><BR>
<B>2012</B><BR>
<B>(Unaudited)</B></TD>
     <TD COLSPAN="9" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B><BR>
<BR>
Year Ended August 31,</B></TD>
     <TD ROWSPAN="2" COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Period</B><BR>
<B>January 31,</B><BR>
<B>2008</B><B><SUP>1</SUP></B><BR>
<B>to August 31,</B><BR>
<B>2008</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>2011</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>2010</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>2009</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Per Share Operating Performance</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net asset value, beginning of period</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">13.17</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">13.55</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">12.53</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">14.31</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">14.33</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><SUP>2</SUP></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net investment income<SUP>3</SUP></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.41</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.86</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.85</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.87</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.47</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net realized and unrealized gain (loss)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.72</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.45</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.87</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.55</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.21</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net increase (decrease) from investment operations</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.13</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.41</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.72</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.68</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.68</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dividends and distributions from:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net investment income</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.40</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.79</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.70</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.09</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.62</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tax return of capital</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.01</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.06</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Total dividends and distributions</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.40</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.79</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.70</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.10</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.68</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Capital charges with respect to issuance of shares</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.02</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Net asset value, end of period</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">13.90</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">13.17</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">13.55</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">12.53</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">14.31</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Market price, end of period</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">13.45</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">12.65</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">12.86</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">11.03</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">12.66</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="16" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Total Investment Return</FONT></B><B><SUP><FONT color=#394c87>4</FONT></SUP></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Based on net asset value</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">8.88</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">2.93</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">14.39</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">(2.16</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">)%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">4.79</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Based on market price</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">9.69</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">4.17</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">23.33</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">(2.65</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">)%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">(11.44</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">)%<SUP>5</SUP></TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="16" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Ratios to Average Net Assets</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Total expenses</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">2.00</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%<SUP>6</SUP></TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">2.02</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">1.91</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">2.39</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">1.78</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%<SUP>6</SUP></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Total expenses after fees waived and paid indirectly</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">2.00</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%<SUP>6</SUP></TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">2.02</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">1.90</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">2.39</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">1.78</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%<SUP>6</SUP></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Total expenses after fees waived and paid indirectly and excluding interest expense</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">1.70</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%<SUP>6</SUP></TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">1.71</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">1.65</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">1.94</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">1.48</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%<SUP>6</SUP></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Net investment income</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">6.07</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%<SUP>6</SUP></TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">6.10</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">6.40</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">8.11</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">5.52</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%<SUP>6</SUP></TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="16" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Supplemental Data</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Net assets, end of period (000)</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">125,475</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">118,897</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">122,062</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">112,862</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">127,695</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Borrowings outstanding, end of period (000)</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">35,000</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">43,000</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">24,000</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">27,000</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">38,500</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Average borrowings outstanding during the period (000)</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">37,318</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">36,369</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">24,633</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">31,141</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">13,788</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Portfolio turnover</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">21</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">91</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">102</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">41</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">18</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Asset coverage, end of period per $1,000</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">4,585</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">3,765</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">6,086</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">5,180</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">4,317</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>1</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Commencement of operations.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>2</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: 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.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>3</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Based on average shares outstanding.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>4</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: 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. Where applicable, total investment returns
exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>5</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Aggregate total investment return.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>6</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Annualized.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 6 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">FEBRUARY 29, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->49<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="width: 41%; font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="width: 58%; font-family: Arial, Helvetica, Sans-Serif"></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid; color: #394c87"><FONT color=#394c87>Financial Highlights</FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD ROWSPAN="3" COLSPAN="19" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif"></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif"></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD ROWSPAN="2" COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B><B>Six Months</B><BR>
<B>Ended</B><BR>
<B>February 29,</B><BR>
2012</B><BR>
<B>(Unaudited)</B><B><SUP>1</SUP></B></TD>
     <TD COLSPAN="15" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B><BR>
<BR>
Year Ended August 31,</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>2011</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>2010</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>2009</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>2008</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>2007</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Per Share Operating Performance</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net asset value, beginning of period</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10.19</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10.47</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8.74</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 1px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">13.94</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">17.50</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">18.70</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net investment income<SUP>2</SUP></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.33</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.75</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.80</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.06</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.61</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.83</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net realized and unrealized gain (loss)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.51</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.28</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.78</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(4.88</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(3.41</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.23</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net increase (decrease) from investment operations</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.84</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.47</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2.58</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(3.82</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.80</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.60</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dividends and distributions from:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net investment income</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.35</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.69</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.80</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.72</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.80</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tax return of capital</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.06</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.05</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.24</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.04</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Total dividends and distributions</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.35</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.75</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.85</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.38</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.76</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.80</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Net asset value, end of period</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10.68</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10.19</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10.47</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8.74</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">13.94</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">17.50</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="padding-bottom: 2px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Market price, end of period</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10.12</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">9.84</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10.45</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8.80</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">12.77</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">17.16</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="19" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Total Investment Return</FONT></B><B><SUP><FONT color=#394c87>3</FONT></SUP></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Based on net asset value</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8.73</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>4</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4.30</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">30.27</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(23.82</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(10.17</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3.00</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="padding-bottom: 2px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Based on market price</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6.70</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>4</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.91</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">29.13</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(16.27</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(16.08</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.19</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="19" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Ratios to Average Net Assets</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Total expenses</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.66</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.74</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.53</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2.47</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2.77</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3.66</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Total expenses after fees waived and paid indirectly</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.66</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.74</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.53</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2.47</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2.77</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3.66</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Total expenses after fees waived and paid indirectly</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-left: 6pt; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">and excluding interest expense</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.35</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.39</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.26</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.57</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.23</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.30</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="padding-bottom: 2px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net investment income</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6.43</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6.99</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7.86</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">13.63</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10.40</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">9.63</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="19" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Supplemental Data</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Net assets, end of period (000)</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">132,400</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">126,307</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">129,385</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-indent: 1px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">107,556</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">169,707</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">212,792</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Borrowings outstanding, end of period (000)</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">40,000</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">47,000</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">29,000</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-indent: 1px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">18,000</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">65,500</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">72,000</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Average borrowings outstanding during the period (000)</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">41,599</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">43,553</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">25,074</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-indent: 1px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">28,247</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">64,335</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">95,465</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Portfolio turnover</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">21</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">93</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">105</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">45</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">41</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">72</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Asset coverage, end of period per $1,000</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,310</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,687</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,462</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-indent: 1px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,975</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,591</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,955</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>1</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Consolidated Financial Highlights.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>2</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Based on average shares outstanding.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>3</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: 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. Where applicable, total investment returns
exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>4</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Aggregate total investment return.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>5</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Annualized.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 7 -->
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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR>
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<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="width: 40%; font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="width: 59%; font-family: Arial, Helvetica, Sans-Serif"></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid; color: #394c87"><FONT color=#394c87>Financial Highlights</FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></B></TD></TR></TABLE><BR>
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     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD ROWSPAN="3" COLSPAN="19" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif"></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif"></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD ROWSPAN="2" COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B><B>Six Months</B><BR>
<B>Ended</B><BR>
<B>February 29,</B><BR>
2012</B><BR>
<B>(Unaudited)</B><B><SUP>1</SUP></B></TD>
     <TD COLSPAN="15" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B><BR>
<BR>
Year Ended August 31,</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>2011</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>2010</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>2009</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>2008</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>2007</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Per Share Operating Performance</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net asset value, beginning of period</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">14.04</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">14.36</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">12.93</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 1px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">16.12</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">18.25</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">19.32</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net investment income<SUP>2</SUP></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.48</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.96</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.91</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.45</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.54</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net realized and unrealized gain (loss)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.70</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.36</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.48</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(3.04</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(2.03</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.07</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net increase (decrease) from investment operations</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.18</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.60</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2.39</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.90</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.58</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.47</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dividends and distributions from:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net investment income</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.46</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.86</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.94</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.29</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.55</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.54</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tax return of capital</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.06</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.02</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Total dividends and distributions</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.46</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.92</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.96</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.29</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.55</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.54</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Net asset value, end of period</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">14.76</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">14.04</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">14.36</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-indent: 1px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">12.93</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">16.12</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">18.25</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="padding-bottom: 2px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Market price, end of period</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">14.52</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">13.33</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">14.61</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-indent: 1px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">12.26</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">14.49</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">16.70</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="19" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Total Investment Return</FONT></B><B><SUP><FONT color=#394c87>3</FONT></SUP></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Based on net asset value</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8.76</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>4</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4.04</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">18.91</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(8.88</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(2.56</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2.74</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="padding-bottom: 2px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Based on market price</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">12.69</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>4</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(2.91</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">27.59</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(3.88</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(4.28</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3.85</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="19" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Ratios to Average Net Assets</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Total expenses</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.60</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.60</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.45</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.96</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2.61</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3.33</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Total expenses after fees waived and paid indirectly</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.60</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.60</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.45</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.96</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2.60</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3.33</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Total expenses after fees waived and paid indirectly and excluding</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; text-indent: 6pt; font-family: Arial, Helvetica, Sans-Serif">interest expense</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.30</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.30</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.22</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.31</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.18</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.20</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="padding-bottom: 2px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net investment income</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6.68</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6.44</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6.43</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10.18</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8.49</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7.88</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="19" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Supplemental Data</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Net assets, end of period (000)</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">272,652</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">259,205</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">264,379</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-indent: 1px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">237,160</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">295,005</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">334,065</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Borrowings outstanding, end of period (000)</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">78,000</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">93,000</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">53,000</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-indent: 1px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">38,000</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">101,500</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">107,000</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Average borrowings outstanding during the period (000)</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">83,484</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">79,195</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">48,258</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-indent: 1px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">50,591</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">102,272</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">133,763</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Portfolio turnover</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">21</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">91</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">96</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">58</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">49</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">69</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Asset coverage, end of period per $1,000</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,496</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,787</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,988</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-indent: 1px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,241</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,906</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,122</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>1</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Consolidated Financial Highlights.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>2</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Based on average shares outstanding.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>3</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: 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. Where applicable, total investment returns
exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>4</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Aggregate total investment return.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>5</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Annualized.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 8 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">FEBRUARY 29, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->51<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="width: 44%; font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="width: 55%; font-family: Arial, Helvetica, Sans-Serif"></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid; color: #394c87"><FONT color=#394c87>Financial Highlights</FONT></TD>
     <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: 8pt Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>BlackRock Limited Duration Income Trust (BLW)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD ROWSPAN="2" COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Six Months</B><BR>
<B>Ended</B><BR>
<B>February 29,</B><BR>
<B>2012</B><BR>
<B>(Unaudited)</B><B><SUP>1</SUP></B></TD>
     <TD COLSPAN="9" STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B><BR>
<BR>
Year Ended August 31,</B></TD>
     <TD ROWSPAN="2" COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Period</B><BR>
<B>November 1,</B><BR>
<B>2007</B> <B>to</B><BR>
<B>August 31,</B><BR>
<B>2008</B></TD>
     <TD COLSPAN="6" STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>Year Ended October 31,</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>2011</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>2010</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>2009</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>2007</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>2006</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Per Share Operating Performance</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net asset value, beginning of period</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">16.52</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">16.79</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">14.95</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">16.71</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">18.52</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">19.01</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">19.17</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net investment income</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.64</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><SUP>2</SUP>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.34</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><SUP>2</SUP>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.12</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><SUP>2</SUP>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.01</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><SUP>2</SUP>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><SUP>2</SUP>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.50</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.35</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net realized and unrealized gain (loss)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.67</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.37</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.62</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.61</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.76</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.49</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.03</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net increase (decrease) from investment operations</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.31</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.97</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2.74</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.60</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.62</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.01</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.38</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dividends and distributions from:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net investment income</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.69</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.24</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.90</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.41</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.52</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net realized gain</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.06</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tax return of capital</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.03</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.02</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Total dividends and distributions</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.69</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.24</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(0.90</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.16</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.19</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.50</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.54</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Net asset value, end of period</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">17.14</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">16.52</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">16.79</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">14.95</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">16.71</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">18.52</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">19.01</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="padding-bottom: 2px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Market price, end of period</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">16.96</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">16.01</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">16.76</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">14.09</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">14.57</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">16.68</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">18.85</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="22" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Total Investment Return</FONT></B><B><SUP><FONT color=#394c87>3</FONT></SUP></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Based on net asset value</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8.20</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>4</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5.85</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">19.00</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1.57</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(2.60</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)%<SUP>4</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5.66</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7.85</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="padding-bottom: 2px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Based on market price</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10.48</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>4</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2.77</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">26.04</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6.40</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(5.70</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)%<SUP>4</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(4.03</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">17.31</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="22" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Ratios to Average Net Assets</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Total expenses</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.04</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.01</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.82</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.72</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.39</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2.16</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2.20</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Total expenses after fees waived and before</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-indent: 6pt; text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">fees paid indirectly</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.04</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.00</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.81</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.71</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.39</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2.16</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2.20</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Total expenses after fees waived and paid indirectly</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.04</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.00</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.81</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.71</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1.38</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2.14</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2.19</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Total expenses after fees waived and paid indirectly and</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-indent: 6pt; text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">excluding interest expense</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.89</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.87</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.73</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.69</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.76</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.83</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.91</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="padding-bottom: 2px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net investment income</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7.83</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7.75</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6.90</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7.42</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7.84</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>5</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7.92</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7.10</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="22" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Supplemental Data</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Net assets, end of period (000)</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">632,912</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">609,818</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">619,381</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">551,505</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">616,393</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">638,109</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">699,206</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Borrowings outstanding, end of period (000)</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">238,561</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">244,120</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">123,233</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">64,538</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">109,287</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">220,000</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Average borrowings outstanding during the period (000)</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">226,649</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">191,303</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">44,160</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">11,705</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">120,295</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">172,040</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">179,366</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Portfolio turnover</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">23</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">106</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>6</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">248</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">287</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>8</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">191</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%<SUP>9</SUP></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">65</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">132</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Asset coverage, end of period per $1,000</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,653</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,498</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,026</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,551</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,251</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,178</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>1</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Consolidated Financial Highlights.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>2</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Based on average shares outstanding.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>3</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: 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. Where applicable, total investment returns
exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>4</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Aggregate total investment return.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>5</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Annualized.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>6</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Includes mortgage dollar roll and to-be-announced (&#147;TBA&#148;) transactions.
Excluding these transactions the portfolio turnover rate would have been 87%.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>7</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Includes mortgage dollar roll transactions. Excluding these transactions the portfolio
turnover rate would have been 113%.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>8</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Includes mortgage dollar roll transactions. Excluding these transactions the portfolio
turnover rate would have been 79%.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>9</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Includes TBA transactions. Excluding these transactions, the portfolio turnover rate
would have been 24%.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
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<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87><A NAME="zza_012"></A>Notes to Financial Statements </FONT><FONT STYLE="font-size: 10pt; color: rgb(57,76,135)">(Unaudited)</FONT></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>1. Organization and Significant Accounting Policies:</B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BlackRock Defined Opportunity Credit Trust (&#147;BHL&#148;), BlackRock Diversified Income Strategies Fund, Inc. (&#147;DVF&#148;), BlackRock Floating Rate Income Strategies Fund, Inc. (&#147;FRA&#148;) and BlackRock Limited Duration Income Trust (&#147;BLW&#148;) (collectively, the &#147;Funds&#148; or individually as a &#147;Fund&#148;) are registered under the 1940 Act, as diversified, closed-end management investment companies. BHL and BLW are organized as Delaware Statutory trusts. DVF and FRA are organized as Maryland corporations. The Funds&#146; financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (&#147;US GAAP&#148;), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Boards of Directors and the Boards of Trustees of the Funds are collectively referred to throughout this report as the &#147;Board of Directors&#148; or the &#147;Board&#148;, and the directors/ trustees thereof are collectively referred to throughout this report as &#147;Directors&#148;. The Funds determine and make available for publication the NAVs of their Common Shares on a daily basis.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The following is a summary of significant accounting policies followed by the Funds:</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Basis of Consolidation:</B> The accompanying consolidated financial statements include the accounts of DVF JGW SPV, LLC, DVF (S-MARTIN) SPV, LLC, FRA JGW SPV, LLC and BLW JGW SPV, LLC (the &#147;Taxable Subsidiaries&#148;), all of which are wholly owned taxable subsidiaries of each Fund. The Taxable Subsidiaries enable the Funds to hold investments that are organized as an operating partnership and still satisfy Regulated Investment Company (&#147;RIC&#148;) tax requirements. Income earned and gains realized on the investments held by the Taxable Subsidiaries is taxable to such subsidiaries. An income tax provision for all income, including realized and unrealized gains, if any, is reflected as either a reduction in investment income or as component of realized and unrealized gain (loss) on the Consolidated Statements of Operations. The Funds may invest up to 25% of their total assets in the Taxable Subsidiary. Intercompany accounts and transactions have been eliminated. The Taxable Subsidiary is subject to the same investment policies and restrictions that apply to the Funds.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Valuation:</B> US GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds fair value their financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The Funds value their bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. Financial futures contracts traded on exchanges are valued at their last sale price. TBA commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services. Swap agreements are valued utilizing quotes received daily by the Funds&#146; pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. Investments in open-end registered investment companies are valued at NAV each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Municipal investments (including commitments to purchase such investments on a &#147;when-issued&#148; basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Equity investments traded on a recognized securities exchange or the NAS-DAQ Global Market System (&#147;NASDAQ&#148;) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day&#146;s price will be used, unless it is determined that such prior day&#146;s price no longer reflects the fair value of the security.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the NYSE. Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day&#146;s price will be used, unless it is determined that the prior day&#146;s price no longer reflects the fair value of the option. Over-the-counter (&#147;OTC&#148;) options and swaptions are valued by an independent pricing service using a mathematical model which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.</P>
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<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Notes to Financial Statements (continued)</FONT></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or if a price is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair value (&#147;Fair Value Assets&#148;). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that each Fund might reasonably expect to receive from the current sale of that asset in an arm&#146;s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of each Fund&#146;s net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and be valued at their fair value, as determined in good faith by the investment advisor using a pricing service and/or policies approved by the Board.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Foreign Currency Transactions: </B>The Funds&#146; books and records are maintained in US dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on the respective date of such transactions. Generally, when the US dollar rises in value against a foreign currency, the Funds&#146; investments denominated in that currency will lose value because its currency is worth fewer US dollars; the opposite effect occurs if the US dollar falls in relative value.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Funds do not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are not segregated on the Statement of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. The Funds report realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Asset-Backed and Mortgage-Backed Securities: </B>Certain Funds may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security subject to such a prepayment feature will have the effect of shortening the maturity of the security. If a Fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Certain Funds may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the US government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed Mortgage Pass-Through Certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Collateralized Debt Obligations:</B> Certain Funds may invest in collateralized debt obligations (&#147;CDOs&#148;), which include collateralized bond obligations (&#147;CBOs&#148;) and collateralized loan obligations (&#147;CLOs&#148;). CBOs and CLOs are types of asset-backed securities. A CDO is a bankruptcy remote entity which is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called &#147;tranches&#148;, which will vary in risk profile and yield. The riskiest segment is the subordinated or &#147;equity&#148; tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a &#147;senior&#148; tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Zero-Coupon Bonds: </B>The Funds may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Preferred Stock:</B> Certain Funds may invest in preferred stocks. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with</P>
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<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Notes to Financial Statements (continued)</FONT></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer&#146;s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Floating Rate Loan Interests:</B> Certain Funds may invest in floating rate loan interests. The floating rate loan interests the Funds hold are typically issued to companies (the &#147;borrower&#148;) by banks, other financial institutions, and privately and publicly offered corporations (the &#147;lender&#148;). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The Funds may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the lending rate offered by one or more European banks, such as LIBOR (London Interbank Offered Rate), the prime rate offered by one or more US banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. The Funds consider these investments to be investments in debt securities for purposes of their investment policies.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">When a Fund purchases a floating rate loan interest it may receive a facility fee and when it
sells a floating rate loan interest it may pay a facility fee. On an ongoing basis, the Funds may receive a commitment fee
based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and
commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent
and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Funds upon the
prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. The Funds may invest in multiple
series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Floating rate loan interests are usually freely callable at the borrower&#146;s option. The Funds may invest in such loans in the form of participations in loans (&#147;Participations&#148;) or assignments (&#147;Assignments&#148;) of all or a portion of loans from third parties. Participations typically will result in the Funds having a contractual relationship only with the lender, not with the borrower. The Funds will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, the Funds generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower, and the Funds may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, the Funds will assume the credit risk of both the borrower and the lender that is selling the Participation. The Funds&#146; investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Funds may be treated as general creditors of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in the Funds having a direct contractual relationship with the borrower, and the Funds may enforce compliance by the borrower with the terms of the loan agreement.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Forward Commitments and When-Issued Delayed Delivery Securities: </B>Certain Funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Funds may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Funds may be required to pay more at settlement than the security is worth. In addition, the Funds are not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Funds assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Funds&#146; maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions, which is shown in the Schedules of Investments.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>TBA Commitments:</B> Certain Funds may enter into TBA commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. The Funds generally enter into TBA commitments with the intent to take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Mortgage Dollar Roll Transactions: </B>Certain Funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Funds will not be entitled to receive interest and principal payments on the securities sold. The Funds account for mortgage dollar roll transactions as purchases and sales and realizes gains and losses on these transactions. These transactions may increase the Funds&#146; portfolio turnover rate. Mortgage dollar rolls involve the risk that the market value of the securities that the Funds are required to purchase may decline below the agreed upon repurchase price of those securities.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Reverse Repurchase Agreements: </B>Certain Funds may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Funds sell securities to a bank or</P>
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<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Notes to Financial Statements (continued)</FONT></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. The Funds may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities that the Funds are obligated to repurchase under the agreement may decline below the repurchase price. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Funds&#146; use of the proceeds of the agreement may be restricted while the other party, or its trustee or receiver, determines whether or not to enforce the Funds&#146; obligation to repurchase the securities.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Segregation and Collateralization:</B> In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (&#147;SEC&#148;) require that the Funds either deliver collateral or segregate assets in connection with certain investments (e.g., dollar rolls, TBA sale commitments, financial futures contracts, foreign currency exchange contracts and swaps), or certain borrowings (e.g., reverse repurchase agreements and loan payable), the Funds will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on their books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party to such transactions has requirements to deliver/deposit securities as collateral for certain investments.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Investment Transactions and Investment Income: </B>For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Funds are informed of the ex-dividend date. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis. Consent fees are compensation for agreeing to changes in the terms of debt instruments and are included in interest income in the Statements of Operations.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Dividends and Distributions: </B>Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. If the total dividends and distributions made in any tax year exceeds net investment income and accumulated realized capital gains, a portion of the total distribution may be treated as a tax return of capital. The amount and timing of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Income Taxes:</B> It is each Fund&#146;s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Each Fund files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Funds&#146; US federal tax returns remains open for each of the three years ended August 31, 2011 and the period ended August 31, 2008 for BHL and BLW and the four years ended August 31, 2011 for DVF and FRA. The statutes of limitations on the Funds&#146; state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Recent Accounting Standards:</B> In May 2011, the Financial Accounting Standards Board (the &#147;FASB&#148;) issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about the unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Funds&#146; financial statement disclosures.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">In December 2011, the FASB issued guidance that will expand current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting or similar agreements which are eligible for offset in the Statements of Assets and Liabilities and will require an entity to disclose both gross and net information about such investments and transactions in the financial statements. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Funds&#146; financial statement disclosures.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: </B>Under the deferred compensation plan approved by each Fund&#146;s Board, independent Directors (&#147;Independent Directors&#148;) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Directors. This has approximately the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.</P>
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<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Notes to Financial Statements (continued)</FONT></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The deferred compensation plan is not funded and obligations there-under represent general unsecured claims against the general assets of each Fund. Each Fund may, however, elect to invest in common shares of certain other BlackRock Closed-End Funds selected by the Independent Directors in order to match its deferred compensation obligations. Investments to cover each Fund&#146;s deferred compensation liability, if any, are included in other assets in the Statements of Assets and Liabilities. Dividends and distributions from the BlackRock Closed-End Fund investments under the plan are included in dividends &#151; affiliated in the Statements of Operations.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Other:</B> Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Funds have an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>2. Derivative Financial Instruments:</B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and to economically hedge, or protect, their exposure to certain risks such as credit risk, equity risk, interest rate risk and foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. The Funds maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain netted against any collateral pledged by/posted to the counterparty. For OTC options purchased, the Funds bear the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral received on the options should the counter-party fail to perform under the contracts. Options written by the Funds do not give rise to counterparty credit risk, as options written obligate the Funds to perform and not the counterparty. Counterparty risk related to exchange-traded financial futures contracts and options is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Funds may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. master agreement (&#147;ISDA Master Agreement&#148;) implemented between a Fund and each of its respective counterparties. An ISDA Master Agreement allows each Fund to offset with each separate counterparty certain derivative financial instrument&#146;s payables and/or receivables with collateral held. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Funds from their counterparties are not fully collateralized contractually or otherwise, the Funds bear the risk of loss from counterparty non-performance. See Note 1 &#147;Segregation and Collateralization&#148; for information with respect to collateral practices. In addition, the Funds manage counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Funds&#146; net assets decline by a stated percentage or the Funds fail to meet the terms of their ISDA Master Agreements, which would cause the Funds to accelerate payment of any net liability owed to the counterparty.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Financial Futures Contracts:</B> The Funds purchase or sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk). Financial futures contracts are agreements between the Funds and the counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recorded by the Funds as unrealized appreciation or depreciation. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Foreign Currency Exchange Contracts:</B> The Funds enter into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by the Funds, help to manage the overall exposure to the currencies, in which some of the investments held by the Funds are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Funds as an unrealized gain or loss. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Options:</B> The Funds purchase and write call and put options to increase or decrease their exposure to underlying instruments (interest rate risk) and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised), the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy</P>
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<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Notes to Financial Statements (continued)</FONT></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. When the Funds purchase (write) an option, an amount equal to the premium paid (received) by the Funds is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Funds enter into a closing transaction), the Funds realize a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Funds write a call option, such option is &#147;covered,&#148; meaning that the Funds holds the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, such option is covered by cash in an amount sufficient to cover the obligation.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Options on swaps (swaptions) are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swap option is granting or buying the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that the Funds may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security at a price different from the current market value.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Swaps:</B> The Funds enter into swap agreements, in which the Funds and a counterparty agree to either make periodic net payments on a specified notional amount or net payment upon termination. These payments received or made by the Funds are recorded in the Statements of Operations as realized gains or losses, respectively. Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and amortized over the term of the swap. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). When the swap is terminated, the Funds will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds&#146; basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.</P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#149;</TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit default swaps &#151; The Funds enter into credit default swaps to manage their
exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and/or sovereign
issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The
Funds enter into credit default swap agreements to provide a measure of protection against the default of an issuer (as buyer
of protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller of protection). The Funds
may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of
single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the buyer pays fixed
periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a negative
credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation,
moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments
underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either
pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities
comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security
or underlying securities comprising the index.</TD>
</TR></TABLE>


<P STYLE="border-bottom: Black 1pt solid; padding-bottom: 0pt; margin-top: 0pt; margin-bottom: 0pt; font-family: Arial, Helvetica, Sans-Serif"><B>Derivative Financial Instruments Categorized by Risk Exposure:</B> </P>

<P STYLE="border-bottom: Black 1pt solid; padding-bottom: 0pt; margin-top: 0pt; margin-bottom: 0pt; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Fair Values of Derivative Financial Instruments as of February 29, 2012</B></P>

<P STYLE="border-bottom: Black 1pt solid; padding-bottom: 0pt; margin-top: 0pt; margin-bottom: 0pt; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Asset Derivatives</B></P>





<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>BHL</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>DVF</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>FRA</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>BLW</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>Statements of Assets</B><BR>
<B>and Liabilities Location</B></TD>
     <TD COLSPAN="8" STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Interest rate contracts</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net unrealized appreciation/</TD>
     <TD STYLE="text-align: left; width: 2%; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 9%">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 4%; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 9%">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 4%; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 9%">&nbsp;</TD>
     <TD STYLE="text-align: right; width: 4%; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 9%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">depreciation<SUP>1</SUP>; Investments at</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">value &#151; unaffiliated</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">169,010</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Foreign currency exchange contracts</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Unrealized appreciation on foreign</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">currency exchange contracts</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,894</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,053</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">11,875</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">28,085</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: top">Credit contracts</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Unrealized appreciation on swaps;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Investments at value &#151; unaffiliated</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">125,306</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></TD>
     <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,894</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,053</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">11,875</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">322,401</TD></TR></TABLE><BR>
<!-- Field: Page; Sequence: 15 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->58<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">FEBRUARY 29, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Notes to Financial Statements (continued)</FONT></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="width: 2%; font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 9%"></TD>
     <TD STYLE="width: 4%; font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 9%"></TD>
     <TD STYLE="width: 4%; font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 9%"></TD>
     <TD STYLE="width: 4%; font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 9%"></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="10" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Liability Derivatives</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>BHL</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>DVF</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>FRA</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>BLW</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>Statements of Assets</B><BR>
<B>and Liabilities Location</B></TD>
     <TD COLSPAN="8" STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">Interest rate contracts</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net unrealized appreciation/<BR>
depreciation<SUP>1</SUP>; Investments at</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">value &#151; unaffiliated</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">45,571</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Foreign currency exchange contracts</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Unrealized appreciation on foreign</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">currency exchange contracts</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">211,088</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">179,668</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">325,415</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,962,413</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: top">Credit contracts</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Unrealized appreciation on swaps;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Investments at value &#151; unaffiliated</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,049</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></TD>
     <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">211,088</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">179,668</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">325,415</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,016,033</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>1</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">Includes cumulative appreciation/depreciation on financial futures contracts as reported
in the Schedules of Investments. Only current day&#146;s margin variation is reported within the Statements of Assets and Liabilities.</TD>
</TR></TABLE>

<P STYLE="margin: 0; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>The Effect of Derivative Financial Instruments in the Statements of Operations</B><BR> <B>Six Months Ended February 29, 2012</B></P>


<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%"></TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 9%"></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%"></TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 3%"></TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 9%"></TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 1%"></TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 3%"></TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 9%"></TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 1%"></TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 3%"></TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 9%"></TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 1%"></TD>
  </TR>






  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="12" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Net Realized Gain (Loss) From</B></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 1pt; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid; text-indent: 1px; font-family: Arial, Helvetica, Sans-Serif"><B>BHL</B></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>DVF</B></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>FRA</B></TD>
    <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>BLW</B></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Interest rate contracts:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Financial futures contracts</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,150</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Foreign currency exchange contracts:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Foreign currency exchange contracts</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">565,611</TD>
    <TD STYLE="text-align: left; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">508,006</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">734,007</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,817,999</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit contracts:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Swaps</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(236,726</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Options<SUP>2</SUP></TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">176,120</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="padding-bottom: 2px; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">565,611</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">508,006</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">734,007</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,758,543</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="13" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="12" STYLE="border-bottom: #000000 1px solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>Net Change in Unrealized Appreciation/Depreciation on</B></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>BHL</B></TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>DVF</B></TD>
    <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>FRA</B></TD>
    <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>BLW</B></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Interest rate contracts:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Financial futures contracts</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(39,630</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Options<SUP>2</SUP></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(74,027</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Foreign currency exchange contracts:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Foreign currency exchange contracts</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(178,283</TD>
    <TD STYLE="text-align: left; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif"> $</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(150,084</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(255,990</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1,378,570</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit contracts:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Swaps</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">37,276</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Options<SUP>2</SUP></TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">178,638</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(178,283</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif"> $</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(150,084</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(255,990</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1,276,313</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>




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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2</TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: 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.</TD>
</TR></TABLE>




<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">For the six months ended February 29, 2012, the average quarterly balances of outstanding derivative financial instruments were as follows:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 9%"></TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 4%"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 9%"></TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 4%"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 9%"></TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 4%"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 9%"></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>BHL</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>DVF</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>FRA</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>BLW</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Financial future contracts:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Average number of contracts purchased</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">66</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Average number of contracts sold</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Average notional value of contracts purchased</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">16,395,263</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Average notional value of contracts sold</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,397,815</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Foreign currency exchange contracts:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Average number of contracts &#151; US dollars purchased</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Average number of contracts &#151; US dollars sold</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Average US dollar amounts purchased</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,316,861</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,541,354</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,046,183</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">52,831,987</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Average US dollar amounts sold</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">747,039</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">636,233</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,495,868</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,416,216</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Options:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Average number of option contracts purchased</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">13</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">20</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">46</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Average notional value of option contracts</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">12,257</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">18,857</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">43,372</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Average number of swaption contracts purchased</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Average number of swaption contracts written</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Average notional value of swaption contracts purchased</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Average notional value of swaption contracts written</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,850,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit default swaps:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Average number of contracts &#151; buy protection</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Average number of contracts &#151; sell protection</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Average notional value-buy protection</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,700,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Average notional value-sell protection</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,550,000</TD></TR></TABLE><BR>
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<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Notes to Financial Statements (continued)</FONT></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>3. Investment Advisory Agreement and Other Transactions with Affiliates:</B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The PNC Financial Services Group, Inc. (&#147;PNC&#148;) and Barclays Bank PLC (&#147;Barclays&#148;) are the largest stockholders of BlackRock, Inc. (&#147;BlackRock&#148;). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is not.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Each Fund entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the &#147;Manager&#148;), the Funds&#146; investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Fund&#146;s portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of each Fund. For such services, each Fund pays the Manager a monthly fee based on a percentage of each Fund&#146;s average daily net assets, plus the proceeds of any outstanding borrowings used for leverage as follows:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="width: 1%; font-family: Arial, Helvetica, Sans-Serif"></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">BHL</TD>
     <TD STYLE="text-align: right; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">1.00</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DVF</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.75</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">FRA</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.75</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">BLW</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.55</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory
fees each Fund pay to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does
not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Fund&#146;s investment
in other affiliated investment companies, if any. These amounts are shown as, or included in, fees waived by advisor in the Statements
of Operations. For the six months ended February 29, 2012, the amounts waived were as follows:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="width: 1%; font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="width: 5%; font-family: Arial, Helvetica, Sans-Serif"></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">BHL</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">185</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DVF</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">FRA</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">310</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">BLW</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,424</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Manager entered into a sub-advisory agreement with BlackRock Financial Management, Inc. (&#147;BFM&#148;), an affiliate of the Manager. The Manager pays BFM, for services they provide, a monthly fee that is a percentage of the investment advisory fees paid by each Fund to the Manager.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BlackRock provides investment management and other services to the Taxable Subsidiaries. BlackRock does not receive separate compensation from the Taxable Subsidiaries for providing investment management or administrative services. However, each Trust pays BlackRock based on the Trust&#146;s net assets, which includes the assets of the Taxable Subsidiaries.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Certain officers and/or Directors of the Funds are officers and/or directors of BlackRock or its affiliates. The Funds reimburse the Manager for compensation paid to the Funds&#146; Chief Compliance Officer.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>4. Income Tax Information:</B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">As of August 31, 2011, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 46%"></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 2%"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 10%"></TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 4%"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 10%"></TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 4%"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 10%"></TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 4%"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 10%"></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>Expires August 31,</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>BHL</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>DVF</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>FRA</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>BLW</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">2013</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">691,829</TD>
     <TD STYLE="text-align: right; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">2014</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,755,694</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">2015</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,237,399</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">2016</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,444,704</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">475,453</TD>
     <TD STYLE="text-align: right; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">21,882,229</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">2017</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">20,249,830</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">20,954,032</TD>
     <TD STYLE="text-align: right; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,996,868</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">2018</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,842,154</TD>
     <TD STYLE="text-align: right; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">52,502,532</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">43,990,722</TD>
     <TD STYLE="text-align: right; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">37,509,275</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">2019</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,153,981</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,206,081</TD>
     <TD STYLE="text-align: right; border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">3,842,154</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">85,344,140</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">68,318,117</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">69,388,372</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Funds after August 31, 2011 will not be subject to expiration. In addition, any such losses must be utilized prior to the losses incurred in pre-enactment taxable years.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">As of February 29, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 46%"></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 10%"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 1%"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 3%"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 10%"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 1%"></TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 3%"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 10%"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 1%"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 3%"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 10%"></TD>
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; width: 1%"></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>BHL</B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>DVF</B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>FRA</B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>BLW</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Tax cost</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">161,731,334</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">178,945,341</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">356,083,778</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">862,343,227</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Gross unrealized appreciation</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,469,111</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,784,963</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,938,098</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">31,579,288</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; padding-bottom: 1pt; font-family: Arial, Helvetica, Sans-Serif">Gross unrealized depreciation</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">(2,552,676</TD>
     <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">(9,354,768</TD>
     <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">(10,498,389</TD>
     <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">(28,428,057</TD>
     <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">Net unrealized appreciation (depreciation)</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">916,435</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">(5,569,805</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">)&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">(2,560,291</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">3,151,231</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR></TABLE><BR>
<!-- Field: Page; Sequence: 17 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->60<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">FEBRUARY 29, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Notes to Financial Statements (continued)</FONT></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>5. Investments:</B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Purchases and sales of investments including paydowns and excluding short-term securities and US government securities for the six months ended February 29, 2012, were as follows:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>Purchases</B></TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>Sales</B></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BHL</TD>
    <TD STYLE="text-align: left; width: 1%; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; width: 12%; font-family: Arial, Helvetica, Sans-Serif">33,690,415</TD>
    <TD STYLE="text-align: right; width: 5%; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; width: 1%; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; width: 12%; font-family: Arial, Helvetica, Sans-Serif">44,901,492</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DVF</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">36,911,188</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">48,167,977</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">FRA</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">73,612,690</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">94,672,701</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">BLW</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">192,260,792</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">196,418,870</TD>
  </TR>
</TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">For the six months ended February 29, 2012, purchases and sales of US government securities for BLW were $473,966 and $2,038,634, respectively.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Transactions in options written for the six months ended February 29, 2012, were as follows:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="width: 49%; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="width: 8%; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="width: 3%; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="width: 3%; text-align: right; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="width: 6%; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="width: 3%; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="width: 5%; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="width: 8%; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="width: 3%; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="width: 3%; text-align: right; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="width: 6%; font-family: Arial, Helvetica, Sans-Serif"></TD>
    <TD STYLE="width: 3%; font-family: Arial, Helvetica, Sans-Serif"></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 1pt; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="5" STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>Calls</B></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="5" STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>Puts</B></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>BLW</B></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>Notional</B><BR>

<B>(000</B><B>)</B></TD>
    <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>Premium</B><BR>

<B>Received</B></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>Notional</B><BR>

<B>(000</B><B>)</B></TD>
    <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>Premium</B><BR>

<B>Received</B></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Outstanding options,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; vertical-align: middle; text-indent: 6pt; font-family: Arial, Helvetica, Sans-Serif">beginning of year</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,400</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">76,220</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">15,100</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">229,830</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Options written</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 1pt; font-family: Arial, Helvetica, Sans-Serif">Options expired</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">(7,400</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">(76,220</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">(15,100</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">(229,830</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Outstanding options,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; vertical-align: middle; text-indent: 6pt; padding-bottom: 2px; font-family: Arial, Helvetica, Sans-Serif">end of year</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
</TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>6. Borrowings:</B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BHL, DVF and FRA are entered into a senior committed secured, 364-day revolving line of credit and a separate security agreement (the &#147;SSB Agreement&#148;) with State Street Bank and Trust Company (&#147;SSB&#148;). The Funds have granted a security interest in substantially all of their assets to SSB. The SSB Agreement allowed for the following maximum commitment amounts:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="width: 1%; font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="width: 8%; font-family: Arial, Helvetica, Sans-Serif"></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>Commitment</B><BR>
<B>Amounts</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BHL</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">63,300,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DVF</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">66,800,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">FRA</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">137,200,000</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Prior to March 2, 2012, advances were made by SSB to the Funds at the Funds&#146; option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the Overnight LIBOR or (b) 0.80% above the 7-day, 30-day, 60-day or 90-day LIBOR.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Effective March 2, 2012, advances were made by SSB to the Funds at the Funds&#146; option of (a) the higher of (i) 0.75% above the Fed Funds rate and (ii) 0.75% above the Overnight LIBOR or (b) 0.75% above the 7-day, 30-day, 60-day or 90-day LIBOR.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">In addition, the Funds pay a facility fee and a commitment fee based upon SSB&#146;s total commitment to the Funds. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs. Advances to the Funds as of February 29, 2012 are shown in the Statements of Assets and Liabilities as loan payable.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Funds may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">For the six months ended February 29, 2012, the daily weighted average interest rate for BLW with borrowings from reverse repurchase agreements was as follows:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid; width: 5%; font-family: Arial, Helvetica, Sans-Serif"><B>Daily Weighted</B><BR>
<B>Average</B><BR>
<B>Interest Rate</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">BLW</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.39%</TD>
     </TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">For the six months ended February 29, 2012, the daily weighted average interest rates for Funds with loans under the revolving credit agreements were as follows:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; width: 5%; border-top: Black 1pt solid; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>Daily Weighted</B><BR>
<B>Average</B><BR>
<B>Interest Rate</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BHL</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.96%</TD>
     </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DVF</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.96%</TD>
     </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">FRA</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.96%</TD>
     </TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>7. Commitments:</B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Funds may invest in floating rate loan interests. In connection with these investments, the Funds may also enter into unfunded floating rate loan interests and bridge loan commitments (&#147;commitments&#148;). Bridge loan commitments may obligate the Funds to furnish temporary financing to a borrower until permanent financing can be arranged. At February 29, 2012, the Funds had outstanding bridge loan commitments as follows:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="width: 6%; text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Commitment</B><BR>
<B>Amounts</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BHL</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$1,415,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DVF</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$1,495,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">FRA</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$3,060,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">BLW</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$7,899,610</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">In connection with either of these commitments, the Funds earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. The unrecognized commitment fee income is recorded on the Statements of Assets and Liabilities as deferred income. As of February 29, 2012, the Funds had no outstanding unfunded floating rate loan interests.</P>
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<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Notes to Financial Statements (concluded)</FONT></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>8. Concentration, Market and Credit Risk:</B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Funds may be exposed to counter-party credit risk, or the risk that an entity with which the Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. The Funds manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds&#146; exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Funds&#146; Statements of Assets and Liabilities, less any collateral held by the Funds.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Please see the Schedules of Investments for these securities. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>9. Capital Share Transactions:</B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BHL and BLW are authorized to issue an unlimited number of shares, par value $0.001, all of which were initially classified as Common Shares. DVF and FRA are authorized to issue 200 million shares, par value $0.10, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued Common Shares without approval of Common Shareholders.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Common Shares</B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="width: 20%; text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="width: 15%; text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>Six Months Ended</B><BR>
<B>February 29,</B><BR>
<B>2012</B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>Year Ended</B><BR>
<B>August 31,</B><BR>
<B>2011</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BHL</TD>
     <TD STYLE="text-align: right; padding-right: 40pt; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">18,402</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DVF</TD>
     <TD STYLE="text-align: right; padding-right: 40pt; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">42,239</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">FRA</TD>
     <TD STYLE="text-align: right; padding-right: 40pt; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">58,212</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">BLW</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 40pt; font-family: Arial, Helvetica, Sans-Serif">3,518</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">30,417</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">At February 29, 2012, the shares owned by affiliates of the Manager of the Funds were as follows:</P>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="width: 48%; font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="width: 51%; text-align: right; font-family: Arial, Helvetica, Sans-Serif"></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">BHL</TD>
     <TD STYLE="text-align: left; text-align: right; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">8,517</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">FRA</TD>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,017</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>10. Subsequent Events:</B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Management&#146;s evaluation of the impact of all subsequent events on the Funds&#146; financial statements was completed through the date the financial statements were issued and the following item was noted:</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Funds will pay a net investment income dividend in the following amounts per share on March 30, 2012 to Common Shareholders of record on March 15, 2012:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Common Dividend</B><BR>
<B>Per Share</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BHL</TD>
     <TD STYLE="text-align: center; width: 8%; font-family: Arial, Helvetica, Sans-Serif">$0.0660</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DVF</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$0.0585</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">FRA</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$0.0770</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">BLW</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$0.1050</TD></TR></TABLE><BR>
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<BR>
<P STYLE="text-align: left; border-top: rgb(57,76,165) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif"><FONT color=#394c87><A NAME="zza_013"></A>Officers and Directors</FONT><SUP><FONT color=#394c87>1</FONT></SUP></P>



<DIV STYLE="margin-right: 2%; width: 48%; float: left;">


<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Richard E. Cavanagh, Chairman of the Board and Director<BR>
Karen P. Robards, Vice Chairperson of the Board,<BR>
&nbsp;&nbsp;&nbsp;Chairperson of the Audit Committee and Director<BR>
Paul L. Audet, Director<BR>
Michael J. Castellano, Director and Member of the Audit<BR>
&nbsp;&nbsp;&nbsp;Committee<BR>
Frank J. Fabozzi, Director and Member of the Audit<BR>
&nbsp;&nbsp;&nbsp;Committee<BR>
Kathleen F. Feldstein, Director<BR>
James T. Flynn, Director and Member of the Audit Committee<BR>
Henry Gabbay, Director<BR>
Jerrold B. Harris, Director<BR>
R. Glenn Hubbard, Director<BR>
W. Carl Kester, Director and Member of the Audit Committee<BR>
John M. Perlowski, President and Chief Executive Officer<BR>
Anne Ackerley, Vice President<BR>
Brendan Kyne, Vice President<BR>
Neal Andrews, Chief Financial Officer<BR>
Jay Fife, Treasurer<BR>
Brian Kindelan, Chief Compliance Officer and<BR>
&nbsp;&nbsp;&nbsp;Anti-Money Laundering Officer<BR>
Ira P. Shapiro, Secretary</P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top; font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="width: 17pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif"><SUP>1</SUP></TD><TD STYLE="width: 5pt; font-family: Arial, Helvetica, Sans-Serif"></TD><TD STYLE="font-family: Arial, Helvetica, Sans-Serif">John F. Powers, who was a Director of the Funds,<BR>
resigned as of February 21, 2012.</TD>
</TR></TABLE>


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<BR></DIV><DIV style="margin-left: 2%; width: 48%; float: right;">



<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Investment Advisor</B><BR>
BlackRock Advisors, LLC<BR>
Wilmington, DE 19809</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Sub-Advisor</B><BR>
BlackRock Financial Management, Inc.<BR>
New York, NY 10055<BR>
<BR>
<B>Custodian and Accounting Agent</B><BR>
State Street Bank and Trust Company<BR>
Boston, MA 02110<BR>
<BR>
<B>Transfer Agent</B><BR>
<B>Common Shares</B><BR>
Computershare Trust Company, N.A.<BR>
Canton, MA 02021<BR>
<BR>
<B>Independent Registered Public Accounting Firm</B><BR>
Deloitte &amp; Touche LLP<BR>
Boston, MA 02116</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Legal Counsel</B><BR>
Skadden, Arps, Slate,<BR>
Meagher &amp; Flom LLP<BR>
New York, NY 10036<BR>
<BR>
<B>Address of the Funds</B><BR>
100 Bellevue Parkway<BR>
Wilmington, DE 19809<BR>&nbsp;
</P>


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<P STYLE="text-align: center; border: Black 1pt solid; padding: 3pt; margin-right: 8em; margin-left: 8em; font-family: Arial, Helvetica, Sans-Serif">BLW is managed by a team of investment professionals. Effective March 16, 2012, Tom Musmanno was added to the team of portfolio managers responsible for the day-to-day management of the Fund&#146;s portfolio and the selection of its investments.</P>
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<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87><A NAME="zza_014"></A>Additional Information</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Dividend Policy</FONT></B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Each Fund&#146;s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the Funds may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the dividends paid by the Funds for any particular month may be more or less than the amount of net investment income earned by the Funds during such month. The Funds&#146; current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.</P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>General Information</FONT></B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">On February 9, 2012, the Board of BLW approved the removal of BLW's non-fundamental investment policy requiring that counterparties with respect to swap transactions be rated A or A-1 or better by S&amp;P's or Fitch Ratings, Inc. ("Fitch") or A or P-1 or better by Moody's. As a result of this investment policy change, BLW may enter into swap transactions with any counterparties approved by the Manager. Such counterparties may entail a greater degree of credit risk or risk of nonperformance than counterparties rated A or A-1 or better by S&amp;P's or Fitch or A or P-1 or better by Moody's. The Manager will seek to minimize BLW's exposure to counterparty risk by entering into swap transactions with counterparties the Manager believe to be creditworthy at the time they enter into such transactions. To the extent BLW engages in swap transactions, shareholders of BLW will be dependent on the analytical ability of the Manager to evaluate the credit quality of counterparties to such transactions. In the event of the insolvency of a counterparty, BLW may not be able to recover its assets, in full or at all, during the insolvency process. In addition, counterparties to investments may have no obligation to make markets in such investments and may have the ability to apply essentially discretionary margin and credit requirements. The foregoing investment policy amendment will not alter BLW's investment objective.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Funds do not make available copies of their Statements of Additional Information because the Funds&#146; shares are not continuously offered, which means that the Statement of Additional Information of each Fund has not been updated after completion of the respective Fund&#146;s offerings and the information contained in each Fund&#146;s Statement of Additional Information may have become outdated.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">During the period, there were no material changes in the Funds&#146; investment objectives or policies or to the Funds&#146; charters or by-laws that would delay or prevent a change of control of the Funds that were not approved by the shareholders or in the principal risk factors associated with investment in the Funds. Other than as disclosed on page 63, there have been no changes in the persons who are primarily responsible for the day-to-day management of the Funds&#146; portfolios.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Quarterly performance, semi-annual and annual reports and other information regarding the Funds may be found on BlackRock&#146;s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock&#146;s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock&#146;s website in this report.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Electronic Delivery</B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Electronic copies of most financial reports are available on the Funds&#146; web-sites or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Funds&#146; electronic delivery program.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:</B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Please contact your financial advisor to enroll. Please note that not all investment advisors, banks or brokerages may offer this service.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Householding</B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Funds will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called &#147;householding&#148; and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 441-7762.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Availability of Quarterly Schedule of Investments</B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds&#146; Forms N-Q are available on the SEC&#146;s website at http://www.sec.gov and may also be reviewed and copied at the SEC&#146;s Public Reference Room in Washington, DC. Information on how to access documents on the SEC&#146;s website without charge may be obtained by calling (800) SEC-0330. The Funds&#146; Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.</P>
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<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Additional Information (continued)</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>General Information (concluded)</FONT></B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Availability of Proxy Voting Policies and Procedures</B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC&#146;s website at http://www.sec.gov.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Availability of Proxy Voting Record</B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Information about how the Funds voted proxies relating to securities held in the Funds&#146; portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC&#146;s website at http://www.sec.gov.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Availability of Fund Updates</B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BlackRock will update performance and certain other data for the Funds on a monthly basis on its website in the &#147;Closed-end Funds&#148; section of http://www.blackrock.com. Investors and others are advised to periodically check the website for updated performance information and the release of other material information about the Funds. This reference to BlackRock&#146;s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock&#146;s website in this report.</P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>Section 19(a) Notices</FONT></B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">These reported amounts and sources of distributions are estimates and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Fund&#146;s investment experience during the year and may be subject to changes based on the tax regulations. Each Fund will provide a Form 1099-DIV each calendar year that will explain the character of these dividends and distributions for federal income tax purposes.</P>
<P STYLE="margin: 0; font-family: Arial, Helvetica, Sans-Serif"></P>

<P STYLE="margin-right: 0pt; margin-left: 0pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>February 29, 2012</B></P>

<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; padding-bottom: 1pt; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B>Total Fiscal Year-to-Date</B><BR>

<B>Cumulative Distributions by Character</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B>Percent of Fiscal Year-to-Date</B><BR>

<B>Cumulative Distributions by Character</B></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: center; border-bottom: Black 1pt solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid; width: 10%; font-family: Arial, Helvetica, Sans-Serif"><B>Net</B><BR>

<B>Investment</B><BR>

<B>Income</B></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid; width: 10%; font-family: Arial, Helvetica, Sans-Serif"><B>Net Realized</B><BR>

<B>Capital</B><BR>

<B>Gains</B></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid; width: 10%; font-family: Arial, Helvetica, Sans-Serif"><B>Return of</B><BR>

<B>Capital</B></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid; width: 10%; font-family: Arial, Helvetica, Sans-Serif"><B>Total Per</B><BR>

<B>Common</B><BR>

<B>Share</B></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid; width: 3%; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid; width: 10%; font-family: Arial, Helvetica, Sans-Serif"><B>Net</B><BR>

<B>Investment</B><BR>

<B>Income</B></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid; width: 10%; font-family: Arial, Helvetica, Sans-Serif"><B>Net Realized</B><BR>

<B>Capital</B><BR>

<B>Gains</B></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid; width: 10%; font-family: Arial, Helvetica, Sans-Serif"><B>Return of</B><BR>

<B>Capital</B></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid; width: 10%; font-family: Arial, Helvetica, Sans-Serif"><B>Total Per</B><BR>

<B>Common</B><BR>

<B>Share</B></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">DVF</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$0.337593</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$0.013407</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$0.351000</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">96%</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">0%</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">4%</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">100%</TD>
  </TR>
</TABLE><BR>
<P STYLE="text-align: left; font-family: 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 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. 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;.</P>
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<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Additional Information (concluded)</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT color=#394c87>BlackRock Privacy Principles</FONT></B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, &#147;Clients&#148;) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.</P>
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<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"> This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Funds have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares&#146; yield. Statements and other information herein are as dated and are subject to change.</P>

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    <TD STYLE="width: 50%; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
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    <TD STYLE="text-align: left; vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif"><P STYLE="font-family: Arial, Helvetica, Sans-Serif"> #CEFT BK4 2/12 SAR</P></TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif"><IMG src="a48201-prt3x25x2.jpg" border=0></TD></TR>
</TABLE>


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<TABLE CELLSPACING="0" CELLPADDING="4" STYLE="width: 100%; font: 11pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt">Item 2 &ndash;</TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt">Code of Ethics &ndash; Not Applicable to this semi-annual report</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt">Item 3 &ndash;</TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt">Audit Committee Financial Expert &ndash; Not Applicable to this semi-annual report</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt">Item 4 &ndash;</TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt">Principal Accountant Fees and Services &ndash; Not Applicable to this semi-annual report</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt">Item 5 &ndash;</TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt">Audit Committee of Listed Registrants &ndash; Not Applicable to this semi-annual report</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt">Item 6 &ndash;</TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt">Investments</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt">(a) The registrant&rsquo;s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt">(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt">Item 7 &ndash;</TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt">Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies &ndash; Not Applicable to this semi-annual report</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -0.25in">Item 8 &ndash;</TD>
    <TD COLSPAN="2" STYLE="padding-right: -0.25in">Portfolio Managers of Closed-End Management Investment Companies</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 12%; padding-right: -0.25in">&nbsp;</TD>
    <TD STYLE="width: 3%; padding-right: -0.25in">(a)</TD>
    <TD STYLE="width: 85%; padding-right: -0.25in">Not Applicable to this semi-annual report</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -0.25in">&nbsp;</TD>
    <TD STYLE="padding-right: -0.25in">(b)</TD>
    <TD STYLE="padding-right: -0.25in">As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt">Item 9 &ndash;</TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt">Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers &ndash; Not Applicable</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt">Item 10 &ndash;</TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt">Submission of Matters to a Vote of Security Holders &ndash; There have been no material changes to these procedures.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt">Item 11 &ndash;</TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt">Controls and Procedures</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt">(a) &ndash; The registrant&rsquo;s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant&rsquo;s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the &ldquo;1940 Act&rdquo;)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt">(b) &ndash; There were no changes in the registrant&rsquo;s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant&rsquo;s internal control over financial reporting.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt">Item 12 &ndash;</TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt">Exhibits attached hereto</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt">(a)(1) &ndash; Code of Ethics &ndash; Not Applicable to this semi-annual report</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt">(a)(2) &ndash; Certifications &ndash; Attached hereto</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt">(a)(3) &ndash; Not Applicable</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt">(b) &ndash; Certifications &ndash; Attached hereto</TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in">&nbsp;</P>

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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0; margin-right: 0; margin-bottom: 0">Pursuant to the requirements of the Securities Exchange
Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized.</P>

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0; margin-right: 0; margin-bottom: 0">BlackRock Floating Rate Income Strategies Fund, Inc.</P>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">By:</TD><TD STYLE="width: 5pt"></TD><TD><U>/s/ John M. Perlowski</U></TD>
</TR></TABLE>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 22pt; text-indent: 0pt">John
M. Perlowski</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 22pt; text-indent: 0pt">Chief
Executive Officer (principal executive officer) of</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 22pt; text-indent: 0pt">BlackRock
Floating Rate Income Strategies Fund, Inc.</P>

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0; margin-right: 0; margin-bottom: 0">Date: May 1, 2012</P>

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0; margin-right: 0; margin-bottom: 0">Pursuant to the requirements of the Securities Exchange
Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated.</P>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">By:</TD><TD STYLE="width: 5pt"></TD><TD><U>/s/ John M. Perlowski</U></TD>
</TR></TABLE>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 22pt; text-indent: 0pt">John
M. Perlowski</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 22pt; text-indent: 0pt">Chief
Executive Officer (principal executive officer) of</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 22pt; text-indent: 0pt">BlackRock
Floating Rate Income Strategies Fund, Inc.</P>

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0; margin-right: 0; margin-bottom: 0">Date: May 1, 2012</P>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">By:</TD><TD STYLE="width: 5pt"></TD><TD><U>/s/ Neal J. Andrews</U></TD>
</TR></TABLE>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 22pt; text-indent: 0pt">Neal
J. Andrews</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 22pt; text-indent: 0pt">Chief
Financial Officer (principal financial officer) of</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 22pt; text-indent: 0pt">BlackRock
Floating Rate Income Strategies Fund, Inc.</P>

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0; margin-right: 0; margin-bottom: 0">Date: May 1, 2012</P>

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<DOCUMENT>
<TYPE>EX-99.CERT
<SEQUENCE>2
<FILENAME>e48204ex99cert.htm
<DESCRIPTION>CERTIFICATIONS
<TEXT>
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<P STYLE="margin: 0; font-size: 11pt; text-indent: -0.25pt"><FONT STYLE="vertical-align: baseline"><B>EX-99.
CERT</B></FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0; text-indent: 0in; border-bottom: Black 0.75pt solid"><B>CERTIFICATION
PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt">I, John M. Perlowski, Chief Executive
Officer (principal executive officer) of BlackRock Floating Rate Income Strategies Fund, Inc., certify that:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 0; text-indent: 0">1. I
have reviewed this report on Form N-CSR of BlackRock Floating Rate Income Strategies Fund, Inc.;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 0; text-indent: 0">2. Based
on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary
to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect
to the period covered by this report;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 0; text-indent: 0">3. Based
on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material
respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are
required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 0; text-indent: 0">4. The
registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures
(as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined
in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">a)
designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision,
to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by
others within those entities, particularly during the period in which this report is being prepared;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">b)
designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed
under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of
financial statements for external purposes in accordance with generally accepted accounting principles;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">c)
evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions
about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this
report based on such evaluation; and</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">d)
disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second
fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect,
the registrant's internal control over financial reporting; and</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 0; text-indent: 0">5. The
registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's
board of directors (or persons performing the equivalent functions):</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">a)
all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which
are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information;
and</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">b)
any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's
internal control over financial reporting.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt">Date: May 1, 2012</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0"></TD><TD><U>/s/ John M. Perlowski</U></TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: -0.25pt">John M. Perlowski</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: -0.25pt">Chief Executive Officer (principal executive
officer) of<BR>
BlackRock Floating Rate Income Strategies Fund, Inc.</P>

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<P STYLE="margin: 0; font-size: 11pt; text-indent: -0.25pt"><FONT STYLE="vertical-align: baseline"><B>EX-99.
CERT</B></FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0; text-indent: 0in; border-bottom: Black 0.75pt solid"><B>CERTIFICATION
PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt">I, Neal J. Andrews, Chief Financial
Officer (principal financial officer) of BlackRock Floating Rate Income Strategies Fund, Inc., certify that:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 0; text-indent: 0">1. I
have reviewed this report on Form N-CSR of BlackRock Floating Rate Income Strategies Fund, Inc.;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 0; text-indent: 0">2. Based
on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary
to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect
to the period covered by this report;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 0; text-indent: 0">3. Based
on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material
respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are
required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 0; text-indent: 0">4. The
registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures
(as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined
in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">a)
designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision,
to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by
others within those entities, particularly during the period in which this report is being prepared;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">b)
designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed
under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of
financial statements for external purposes in accordance with generally accepted accounting principles;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">c)
evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions
about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this
report based on such evaluation; and</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">d)
disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second
fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect,
the registrant's internal control over financial reporting; and</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 0; text-indent: 0">5. The
registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's
board of directors (or persons performing the equivalent functions):</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">a)
all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which
are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information;
and</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">b)
any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's
internal control over financial reporting.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt">Date: May 1, 2012</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: -0.25pt"><U>/s/ Neal J. Andrews</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: -0.25pt">Neal J. Andrews</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: -0.25pt">Chief Financial Officer (principal financial
officer) of<BR>
BlackRock Floating Rate Income Strategies Fund, Inc.</P>

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<TYPE>EX-99.906 CERT
<SEQUENCE>3
<FILENAME>e48204ex99_906cert.htm
<DESCRIPTION>CERTIFICATIONS
<TEXT>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt"><B>Exhibit 99.1350CERT</B></P>

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: center"><B>Certification Pursuant to Rule 30a-2(b)
under the 1940 Act and<BR>
Section 906 of the Sarbanes-Oxley Act of 2002</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: center"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify">Pursuant to 18 U.S.C. &sect; 1350, the
undersigned officer of BlackRock Floating Rate Income Strategies Fund, Inc. (the &ldquo;registrant&rdquo;), hereby certifies, to
the best of his knowledge, that the registrant's Report on Form N-CSR for the period ended February 29, 2012 (the &ldquo;Report&rdquo;)
fully complies with the requirements of Section 13a of the Securities Exchange Act of 1934, as amended, and that the information
contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the registrant.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt">Date: May 1, 2012</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: -0.25pt"><U>/s/ John M. Perlowski</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">John M. Perlowski</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">Chief Executive Officer (principal executive officer) of</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">BlackRock Floating Rate Income Strategies Fund, Inc.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify">Pursuant to 18 U.S.C. &sect; 1350, the
undersigned officer of BlackRock Floating Rate Income Strategies Fund, Inc. (the &ldquo;registrant&rdquo;), hereby certifies, to
the best of his knowledge, that the registrant's Report on Form N-CSR for the period ended February 29, 2012 (the &ldquo;Report&rdquo;)
fully complies with the requirements of Section 13a of the Securities Exchange Act of 1934, as amended, and that the information
contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the registrant.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt">Date: May 1, 2012</P>

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

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

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">Chief Financial Officer (principal financial officer) of</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">BlackRock Floating Rate Income Strategies Fund, Inc.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">This certification is being furnished pursuant to Rule 30a-2(b)
under the Investment Company Act of 1940, as amended, and 18 U.S.C. Section 1350 and is not being filed as part of the Form N-CSR
with the Securities and Exchange Commission<B>.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"><B>&nbsp;</B></P>



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

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end
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
