<SEC-DOCUMENT>0000900092-11-000316.txt : 20110706
<SEC-HEADER>0000900092-11-000316.hdr.sgml : 20110706
<ACCEPTANCE-DATETIME>20110706124928
ACCESSION NUMBER:		0000900092-11-000316
CONFORMED SUBMISSION TYPE:	N-CSRS
PUBLIC DOCUMENT COUNT:		6
CONFORMED PERIOD OF REPORT:	20110430
FILED AS OF DATE:		20110706
DATE AS OF CHANGE:		20110706
EFFECTIVENESS DATE:		20110706

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			BLACKROCK FLOATING RATE INCOME TRUST
		CENTRAL INDEX KEY:			0001287480
		IRS NUMBER:				000000000

	FILING VALUES:
		FORM TYPE:		N-CSRS
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-21566
		FILM NUMBER:		11952401

	BUSINESS ADDRESS:	
		STREET 1:		40 EAST 52ND STREET
		CITY:			NEW YORK
		STATE:			NY
		ZIP:			10022
		BUSINESS PHONE:		212-754-5336

	MAIL ADDRESS:	
		STREET 1:		40 EAST 52ND STREET
		CITY:			NEW YORK
		STATE:			NY
		ZIP:			10022

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	BLACKROCK GLOBAL FLOATING RATE INCOME TRUST
		DATE OF NAME CHANGE:	20040528

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	BLACKROCK VARIABLE RATE & INFLATION PROTECTED SECURITIES
		DATE OF NAME CHANGE:	20040416
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-CSRS
<SEQUENCE>1
<FILENAME>bgtfinal.htm
<DESCRIPTION>BR FLOATING RATE INCOME TRUST BGT
<TEXT>

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<FONT size=3 face="ArialMT,Arial,Helvetica,sans-serif">UNITEDSTATES</FONT><BR>
<FONT size=3 face="ArialMT,Arial,Helvetica,sans-serif">SECURITIESANDEXCHANGECOMMISSION</FONT><BR>
<FONT size=3 face="ArialMT,Arial,Helvetica,sans-serif">Washington,D.C.20549</FONT><BR>
<BR>
<B><FONT size=3 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">FORM N-CSR</FONT></B><BR>
<BR>
<B><FONT size=3 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT</FONT></B><BR>
<B><FONT size=3 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">INVESTMENT COMPANIES</FONT></B></P>
<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Investment Company Act file number 811-21566</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Name of Fund: BlackRock Floating Rate Income Trust (BGT)</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Floating Rate Income Trust, 55 East 52</FONT><SUP><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">nd </FONT></SUP><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Street, New York, NY 10055</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Registrant&#146;s telephone number, including area code: (800) 882-0052, Option 4</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date of fiscal year end: 10/31/2011</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date of reporting period: 04/30/2011</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 1 &#150; Report to Stockholders</FONT></P>

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<B><FONT color="#231f20" size=3 face="CorporateS-Medium,Arial,Helvetica,sans-serif">April 30, 2011</FONT></B></P>
<P style="text-align: left;">
<FONT size=5 face="CorporateE-Regular,Times New Roman,Times,serif">Semi-Annual Report (Unaudited)</FONT><BR>
<BR>
<FONT color="#939598" size=2 face="Wingdings 3,WingDings">} </FONT><FONT color="#231f20" size=2 face="CorporateS-Light,Arial,Helvetica,sans-serif">BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT><BR>
<BR>
<FONT color="#939598" size=2 face="Wingdings 3,WingDings">} </FONT><FONT color="#231f20" size=2 face="CorporateS-Light,Arial,Helvetica,sans-serif">BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT><BR>
<BR>
<FONT color="#939598" size=2 face="Wingdings 3,WingDings">} </FONT><FONT color="#231f20" size=2 face="CorporateS-Light,Arial,Helvetica,sans-serif">BlackRock Credit Allocation Income Trust III (BPP)</FONT><BR>
<BR>
<FONT color="#939598" size=2 face="Wingdings 3,WingDings">} </FONT><FONT color="#231f20" size=2 face="CorporateS-Light,Arial,Helvetica,sans-serif">BlackRock Credit Allocation Income Trust IV (BTZ)</FONT><BR>
<BR>
<FONT color="#939598" size=2 face="Wingdings 3,WingDings">} </FONT><FONT color="#231f20" size=2 face="CorporateS-Light,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Trust (BGT)</FONT></P>
<P style="text-align: left;">
<B><FONT color="#231f20" size=1 face="CorporateE-Bold,Times New Roman,Times,serif">Not FDIC Insured &#149; No Bank Guarantee &#149; May Lose Value</FONT></B></P>

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<FONT color="#394c87" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Table of Contents</FONT>&nbsp;</TD>
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&nbsp;</TD>
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<B><FONT color="#394c87" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Page</FONT></B>&nbsp;</TD>
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<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Dear Shareholder</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">3</FONT>&nbsp;</TD>
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<B><FONT color="#231f20" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Semi-Annual Report:</FONT></B>&nbsp;</TD>
	<TD align=left>
&nbsp;</TD>
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	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund Summaries</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">4</FONT>&nbsp;</TD>
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	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Benefits and Risks of Leveraging</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">14</FONT>&nbsp;</TD>
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	<TD align=left>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Derivative Financial Instruments</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">15</FONT>&nbsp;</TD>
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<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Financial Statements:</FONT>&nbsp;</TD>
	<TD align=left>
&nbsp;</TD>
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<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Schedules of Investments</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">16</FONT>&nbsp;</TD>
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	<TD align=left style="TEXT-INDENT:2.000000px">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statements of Assets and Liabilities</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">48</FONT>&nbsp;</TD>
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<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statements of Operations</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">49</FONT>&nbsp;</TD>
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<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statements of Changes in Net Assets</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">50</FONT>&nbsp;</TD>
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<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Statements of Cash Flows</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">53</FONT>&nbsp;</TD>
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<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Financial Highlights</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">54</FONT>&nbsp;</TD>
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<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Notes to Financial Statements</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">59</FONT>&nbsp;</TD>
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<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Officers and Directors</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">70</FONT>&nbsp;</TD>
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<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Additional Information</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">71</FONT>&nbsp;</TD>
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<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">2</FONT>&nbsp;</TD>
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<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">APRIL 30, 2011</FONT>&nbsp;</TD>
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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Dear Shareholder</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Time and again, we have seen how various global events and developing trends can have significant influence on financial markets. I hope you find</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that the following review of recent market conditions provides additional perspective on the performance of your investments as you read this</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shareholder report.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Over the past 12 months, we have seen a sluggish, stimulus-driven economic recovery at long last gain real traction, accelerate, and transition into a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>consumption-driven expansion. For the most part, 2010 was plagued with widely fluctuating economic data, but as the year drew to a close, it became</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>clear that cyclical stimulus had beaten out structural problems as economic data releases generally became more positive and financial markets showed</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>signs of continuing improvement. Although the sovereign debt crisis in Europe and high inflation in developing markets that troubled the global economy</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in 2010 remain challenges today, overall investor confidence has improved considerably. During the first four months of 2011, that confidence was shaken</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by political turmoil in the Middle East/North Africa region, soaring prices of oil and other commodities, tremendous natural disasters in Japan and a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>change in the ratings outlook for US debt. However, strong corporate earnings prevailed and financial markets resumed their course while the global</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>economy continued to garner strength.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Equity markets experienced uneven growth and high volatility in 2010, but ended the year with gains. Following a strong start to 2011, the series of confi-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>dence-shaking events brought spurts of heightened volatility to markets worldwide, but was not enough to derail the bull market. Overall, global equities</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>posted strong returns over the past 12 months. Emerging market equities, which had outperformed developed markets earlier in the period, fell prey to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>heightened inflationary pressures and underperformed developed markets later in the period. In the United States, strong corporate earnings and positive</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>signals from the labor market were sources of encouragement for equity investors, although the housing market did not budge from its slump. Early in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011, the US Federal Reserve announced that it would continue its Treasury purchase program (&#8220;QE2&#8221;) through to completion and keep interest rates low</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for an extended period. This compelled investors to continue buying riskier assets, furthering the trend of small cap stocks outperforming large caps.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>While fixed income markets saw yields trend lower (pushing bond prices higher) through most of 2010, the abrupt reversal in investor sentiment and risk</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tolerance in the fourth quarter drove yields sharply upward. Global credit markets were surprisingly resilient in the face of recent headwinds and yields</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>regained relative stability as the period came to a close. Yield curves globally remained steep by historical standards and higher-risk sectors continued</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to outperform higher-quality assets. The tax-exempt municipal market enjoyed a powerful rally during the period of low yields in 2010, but when that</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>trend reversed, the market was dealt an additional blow as it became evident that the Build America Bond program would not be extended. Meanwhile,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>municipal finance troubles raised credit concerns among investors and tax-exempt mutual funds experienced heavy outflows, resulting in wider spreads</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and falling prices. The new year brought relief from these headwinds and a steady rebound in the tax-exempt municipal market.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash investments, as represented by the 3-month Treasury bill, returned only a fraction over 0% for the 12-month period as short-term interest rates</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>remained low. Yields on money market securities remain near all-time lows.</FONT></P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Risk Assets Rallied on Growing Investor Confidence: Total Returns as of April 30, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>6-month</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>12-month</FONT></B>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US large cap equities (S&amp;P </FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><SUB>500</SUB></FONT></SUP><FONT size=2><FONT color=#231f20 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#174;<SUB> </SUB></FONT></FONT><SUB><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Index)</FONT></SUP>&nbsp;</SUB></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16.36%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17.22%</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US small cap equities (Russell </FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><SUB>2000</SUB></FONT></SUP><FONT size=2><FONT color=#231f20 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#174; </FONT></FONT><SUB><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Index)</FONT></SUP>&nbsp;</SUB></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23.73</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22.20</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>International equities (MSCI Europe, Australasia, Far East Index)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.71</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19.18</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Emerging market equities (MSCI Emerging Markets Index)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.74</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20.67</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month Treasury bill (BofA Merrill Lynch 3-Month Treasury Bill Index)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.09</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.17</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Treasury securities (BofA Merrill Lynch 10-Year US Treasury Index)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3.85)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.37</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US investment grade bonds (Barclays Capital US Aggregate Bond Index)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.02</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.36</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax-exempt municipal bonds (Barclays Capital Municipal Bond Index)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.68)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.20</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US high yield bonds (Barclays Capital US Corporate High Yield 2% Issuer Capped Index)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.18</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13.32</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 4px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Past performance is no guarantee of future results. Index performance shown for illustrative purposes only. You cannot invest directly in an index.</FONT>&nbsp;</TD>

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<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>While no one can peer into a crystal ball and eliminate the uncertainties presented by the economic landscape and financial markets, BlackRock can</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>offer investors the next best thing: partnership with the world&#8217;s largest asset management firm that delivers consistent long-term investment results with</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fewer surprises. For additional market perspective and investment insight, visit </FONT><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>www.blackrock.com/shareholdermagazine</FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>, where you&#8217;ll find the most</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recent issue of our award-winning </FONT><FONT color=#231f20 size=2 face=FranklinGothic-MedCndItal,Arial,Helvetica,sans-serif>Shareholder&#174; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>magazine, as well as its quarterly companion newsletter, </FONT><FONT color=#231f20 size=2 face=FranklinGothic-MedCndItal,Arial,Helvetica,sans-serif>Shareholder Perspectives</FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>. As always, we thank</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>you for entrusting BlackRock with your investments, and we look forward to your continued partnership in the months and years ahead.</FONT></P>
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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of April 30, 2011 </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation Income Trust I, Inc.</FONT></B><BR><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Overview</FONT></B><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation Income Trust I, Inc.&#8217;s (PSW) (the &#8220;Fund&#8221;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>primary investment objective is to provide holders of common shares (&#8220;Common</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shareholders&#8221;) with high current income. The secondary investment objective of the Fund is to provide Common Shareholders with capital appreciation. <BR>The </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its assets in credit-related securities, <BR>including, </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>but not limited to, investment grade corporate bonds, high yield bonds (commonly referred to as &#8220;junk&#8221; bonds), bank loans, preferred <BR>securities or convertible </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>bonds or derivatives with economic characteristics similar to these credit-related securities. The Fund may invest directly <BR>in such securities or synthetically</FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>through the use of derivatives.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No assurance can be given that the Fund&#8217;s investment objective will be achieved.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Management Commentary</FONT></B><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>How did the Fund perform?</FONT><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended April 30, 2011, the Fund returned (0.82)%</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on market price and 3.73% based on net asset value (&#8220;NAV&#8221;).</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the same period, the closed-end Lipper Corporate Debt Funds</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(BBB-Rated) category posted an average return of (0.45)% based on</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market price and 2.46% based on NAV. All returns reflect reinvestment</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of dividends. The Fund's discount to NAV, which widened during the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period, accounts for the difference between performance based on</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>price and performance based on NAV. The following discussion relates</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to performance based on NAV.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>What factors influenced performance?</FONT><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The primary driver of the Fund&#8217;s positive performance was its allocation</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to high yield corporate credit, as the sector broadly rallied during the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period on improving fundamentals and continued signs of economic</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recovery in the United States. Also contributing positively was the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#8217;s allocation and security selection within investment grade corpo-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate credit. In particular, an allocation to capital securities, including</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>trust preferreds and hybrid securities, had a positive impact due to a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>technical rally in that space sparked by the favorable outcome of finan-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cial regulatory reform. Within the industrials sector, the Fund&#8217;s prefer-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ence for media cable and media non-cable as well as wireless names</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>boosted returns as these industries performed well during the period.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund also benefited from reducing its portfolio duration (sensitivity</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to interest rates) in the first half of the period, as interest rates rose fol-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lowing the announcement from the US Federal Reserve that it would</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>implement a second round of quantitative easing.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Conversely, the Fund&#8217;s shorter duration bias hurt performance in the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>later half of the period when interest rates turned lower on rising oil</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>prices and the disastrous earthquake in Japan. In addition, as the yield</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>curve steepened near the end of 2010 and into early 2011, the Fund&#8217;s</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>yield curve-flattening bias (fewer holdings of short-dated bonds in favor</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of longer-dated bonds) detracted from performance. Lastly, the Fund&#8217;s</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financials and utilities holdings had a negative impact as both sectors</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>underperformed for the six-month period.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe recent portfolio activity.</FONT><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>During the six-month period, the Fund increased exposure to high yield</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>corporate credit in order to position itself to benefit from the positive</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>effects of an accommodative monetary policy fueling an economic</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recovery and improving corporate fundamentals.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe Fund positioning at period end.</FONT><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund maintained diversified exposure across investment grade</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and high yield corporate credits with a quality bias toward lower-quality</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment grade issues. The Fund ended the period with a smaller</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>allocation to financials in favor of the industrials and utilities sectors,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and a relatively short duration bias.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>views are not intended to be a forecast of future events and are no guarantee of future results.</FONT></P>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>4</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation Income Trust I, Inc.</FONT></B></P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Symbol on New York Stock Exchange (&#8220;NYSE&#8221;)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSW</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>August 1, 2003</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on Closing Market Price as of April 30, 2011 ($9.28)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD style="TEXT-INDENT: 6px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.40%</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Monthly Distribution per Common Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0495</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Annualized Distribution per Common Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.5940</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Leverage as of April 30, 2011</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25%</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The distribution rate is not constant and is subject to change.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings)</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 4px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 4px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Leveraging on page 14.</FONT>&nbsp;</TD>

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<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The table below summarizes the changes in the Fund&#8217;s market price and NAV per share:</FONT></P>

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   <TD width="9%"></TD>

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   <TD width="7%"></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4/30/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>10/31/10</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Change</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>High</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Low</FONT></B>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market Price</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.28</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.67</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.03)%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.89</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.52</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net Asset Value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.79</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.75</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.37%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.85</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.24</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following charts show the portfolio composition and credit quality allocations of the Fund&#8217;s long-term investments:</FONT></P>

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   <TD width="51%"></TD>

   <TD width="32%"></TD>

   <TD width="15%"></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=middle><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Composition</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4/30/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>10/31/10</FONT></B>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>77%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69%</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Preferred Securities</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Treasury Obligations</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset Backed Securities</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Taxable Municipal Bonds</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="52%"></TD>

   <TD width="31%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4/30/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>10/31/10</FONT></B>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AAA</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1%</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14%</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AA/Aa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BBB/Baa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BB/Ba</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCC/Caa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Not Rated</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" colSpan=3 align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using the higher of Standard &amp; Poor&#8217;s (&#8220;S&amp;P&#8217;s&#8221;) or Moody&#8217;s Investors Service</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(&#8220;Moody&#8217;s&#8221;) ratings.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=3 align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes US Treasury obligations that are deemed AAA by the investment advisor.</FONT>&nbsp;</TD></TR></TABLE></DIV>

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   <TD width="40%"></TD>

   <TD width="46%"></TD>

   <TD width="13%"></TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>5</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of April 30, 2011 </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation Income Trust II, Inc.</FONT></B><BR><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Overview</FONT></B><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation Income Trust II, Inc.&#8217;s (PSY) (the &#8220;Fund&#8221;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>primary investment objective is to provide common shareholders with <BR>current income. </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The secondary investment objective of the Fund is to provide Common Shareholders with capital appreciation. The Fund <BR>seeks to achieve its investment objec</FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tives by investing, under normal market conditions, at least 80% of its assets in credit-related <BR>securities, including, but not limited to, investment grade corpo</FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate bonds, high yield bonds (commonly referred to as &#8220;junk&#8221; bonds), <BR>bank loans, preferred securities or convertible bonds or derivatives with economic </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>characteristics similar to these credit-related <BR>securities. The Fund may invest directly in such securities or synthetically through the use of derivatives.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No assurance can be given that the Fund&#8217;s investment objective will be achieved.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Management Commentary</FONT></B><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>How did the Fund perform?</FONT><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended April 30, 2011, the Fund returned 0.29%</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on market price and 3.73% based on NAV. For the same period,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the closed-end Lipper Corporate Debt Funds (BBB-Rated) category</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>posted an average return of (0.45)% based on market price and 2.46%</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on NAV. All returns reflect reinvestment of dividends. The Fund's</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>discount to NAV, which widened during the period, accounts for the dif-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ference between performance based on price and performance based</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on NAV. The following discussion relates to performance based on NAV.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>What factors influenced performance?</FONT><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The primary driver of the Fund&#8217;s positive performance was its allocation</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to high yield corporate credit, as the sector broadly rallied during the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period on improving fundamentals and continued signs of economic</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recovery in the United States. Also contributing positively was the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#8217;s allocation and security selection within investment grade corpo-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate credit. In particular, an allocation to capital securities, including</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>trust preferreds and hybrid securities, had a positive impact due to a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>technical rally in that space sparked by the favorable outcome of finan-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cial regulatory reform. Within the industrials sector, the Fund&#8217;s prefer-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ence for media cable and media non-cable as well as wireless names</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>boosted returns as these industries performed well during the period.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund also benefited from reducing its portfolio duration (sensitivity</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to interest rates) in the first half of the period, as interest rates rose fol-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lowing the announcement from the US Federal Reserve that it would</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>implement a second round of quantitative easing.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Conversely, the Fund&#8217;s shorter duration bias hurt performance in the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>later half of the period when interest rates turned lower on rising oil</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>prices and the disastrous earthquake in Japan. In addition, as the yield</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>curve steepened near the end of 2010 and into early 2011, the Fund&#8217;s</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>yield curve-flattening bias (fewer holdings of short-dated bonds in favor</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of longer-dated bonds) detracted from performance. Lastly, the Fund&#8217;s</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financials and utilities holdings had a negative impact as both sectors</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>underperformed for the six-month period.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe recent portfolio activity.</FONT><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>During the six-month period, the Fund increased exposure to high yield</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>corporate credit in order to position itself to benefit from the positive</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>effects of an accommodative monetary policy fueling an economic</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recovery and improving corporate fundamentals.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe Fund positioning at period end.</FONT><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund maintained diversified exposure across investment grade and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>high yield corporate credits with a quality bias toward lower-quality</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment grade issues. The Fund ended the period with a smaller allo-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cation to financials in favor of the industrials and utilities sectors, and a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>relatively short duration bias.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>views are not intended to be a forecast of future events and are no guarantee of future results.</FONT></P>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation Income Trust II, Inc.</FONT></B></P>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="61%"></TD>

   <TD width="38%"></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Symbol on NYSE</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 6px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSY</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March 28, 2003</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on Closing Market Price as of April 30, 2011 ($10.08)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD style="TEXT-INDENT: 6px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.37%</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Monthly Distribution per Common Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0535</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Annualized Distribution per Common Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.6420</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Leverage as of April 30, 2011</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25%</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The distribution rate is not constant and is subject to change.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings)</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 4px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 4px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Leveraging on page 14.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The table below summarizes the changes in the Fund&#8217;s market price and NAV per share:</FONT></P>

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<TR>

   <TD width="33%"></TD>

   <TD width="31%"></TD>

   <TD width="10%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD>

   <TD width="7%"></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4/30/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>10/31/10</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Change</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>High</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Low</FONT></B>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market Price</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.08</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.39</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2.98)%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.60</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.23</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net Asset Value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$11.63</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$11.59</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$11.70</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$11.01</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following charts show the portfolio composition and credit quality allocations of the Fund&#8217;s long-term investments:</FONT></P>

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<TR>

   <TD width="51%"></TD>

   <TD width="32%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=middle><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Composition</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4/30/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>10/31/10</FONT></B>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>76%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>64%</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Preferred Securities</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Treasury Obligations</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Taxable Municipal Bonds</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset Backed Securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="21%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4/30/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>10/31/10</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AAA</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16%</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AA/Aa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BBB/Baa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BB/Ba</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCC/Caa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Not Rated</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using the higher of S&amp;P&#8217;s or Moody&#8217;s ratings.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=3 align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes US Treasury obligations that are deemed AAA by the investment advisor.</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<TR>

   <TD width="40%"></TD>

   <TD width="46%"></TD>

   <TD width="13%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of April 30, 2011 </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation Income Trust III</FONT></B><BR><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Overview</FONT></B><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation Income Trust III&#8217;s (BPP) (the &#8220;Fund&#8221;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment objective is to provide high current income consistent with capital preserva-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion. The Fund seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its assets in credit-related securities,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>including, but not limited to, investment grade corporate bonds, high yield bonds (commonly referred to as &#8220;junk&#8221; bonds), bank loans, preferred securities or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>convertible bonds or derivatives with economic characteristics similar to these credit-related securities. The Fund may invest directly in such securities or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>synthetically through the use of derivatives.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No assurance can be given that the Fund&#8217;s investment objective will be achieved.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Management Commentary</FONT></B><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>How did the Fund perform?</FONT><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended April 30, 2011, the Fund returned (1.30)%</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on market price and 3.95% based on NAV. For the same period,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the closed-end Lipper Corporate Debt Funds (BBB-Rated) category</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>posted an average return of (0.45)% based on market price and 2.46%</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on NAV. All returns reflect reinvestment of dividends. The Fund's</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>discount to NAV, which widened during the period, accounts for the dif-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ference between performance based on price and performance based</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on NAV. The following discussion relates to performance based on NAV.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>What factors influenced performance?</FONT><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The primary driver of the Fund&#8217;s positive performance was its allocation</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to high yield corporate credit, as the sector broadly rallied during the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period on improving fundamentals and continued signs of economic</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recovery in the United States. Also contributing positively was the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#8217;s allocation and security selection within investment grade corpo-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate credit. In particular, an allocation to capital securities, including</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>trust preferreds and hybrid securities, had a positive impact due to a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>technical rally in that space sparked by the favorable outcome of finan-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cial regulatory reform. Within the industrials sector, the Fund&#8217;s prefer-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ence for media cable and media non-cable as well as wireless names</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>boosted returns as these industries performed well during the period.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund also benefited from reducing its portfolio duration (sensitivity</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to interest rates) in the first half of the period, as interest rates rose fol-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lowing the announcement from the US Federal Reserve that it would</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>implement a second round of quantitative easing.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Conversely, the Fund&#8217;s shorter duration bias hurt performance in the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>later half of the period when interest rates turned lower on rising oil</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>prices and the disastrous earthquake in Japan. In addition, as the yield</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>curve steepened near the end of 2010 and into early 2011, the Fund&#8217;s</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>yield curve-flattening bias (fewer holdings of short-dated bonds in favor</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of longer-dated bonds) detracted from performance. Lastly, the Fund&#8217;s</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financials and utilities holdings had a negative impact as both sectors</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>underperformed for the six-month period.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe recent portfolio activity.</FONT><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>During the six-month period, the Fund increased exposure to high yield</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>corporate credit in order to position itself to benefit from the positive</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>effects of an accommodative monetary policy fueling an economic</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recovery and improving corporate fundamentals.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe Fund positioning at period end.</FONT><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund maintained diversified exposure across investment grade and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>high yield corporate credits with a quality bias toward lower-quality</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment grade issues. The Fund ended the period with a smaller</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>allocation to financials in favor of the industrials and utilities sectors,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and a relatively short duration bias.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>views are not intended to be a forecast of future events and are no guarantee of future results.</FONT></P>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>8</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation Income Trust III</FONT></B></P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Symbol on NYSE</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 7px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BPP</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>February 28, 2003</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on Closing Market Price as of April 30, 2011 ($10.74)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD style="TEXT-INDENT: 7px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.03%</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Monthly Distribution per Common Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD style="TEXT-INDENT: 6px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.054</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Annualized Distribution per Common Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD style="TEXT-INDENT: 6px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.648</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Leverage as of April 30, 2011</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 6px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19%</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The distribution rate is not constant and is subject to change.</FONT>&nbsp;</TD>

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   <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings)</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 4px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 4px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Leveraging on page 14.</FONT>&nbsp;</TD>

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<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The table below summarizes the changes in the Fund&#8217;s market price and NAV per share:</FONT></P>

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   <TD width="9%" align=middle></TD>

   <TD width="9%" align=middle></TD>

   <TD width="9%" align=middle></TD>

   <TD width="7%" align=middle></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4/30/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>10/31/10</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Change</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>High</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Low</FONT></B>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market Price</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.74</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$11.23</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.36)%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$11.31</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10.01</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net Asset Value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.50</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.41</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.73%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.50</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$11.79</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following charts show the portfolio composition and credit quality allocations of the Fund&#8217;s long-term investments:</FONT></P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=middle><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Composition</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4/30/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>10/31/10</FONT></B>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>78%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>72%</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Preferred Securities</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Taxable Municipal Bonds</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Treasury Obligations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9</FONT>&nbsp;</TD></TR></TABLE></DIV>

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   <TD width="62%"></TD>

   <TD width="21%"></TD>

   <TD width="15%"></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4/30/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>10/31/10</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AAA</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AA/Aa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BBB/Baa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>43</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BB/Ba</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCC/Caa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Not Rated</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 1px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using the higher of S&amp;P&#8217;s or Moody&#8217;s ratings.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=3 align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes US Treasury obligations that are deemed AAA by the investment advisor.</FONT>&nbsp;</TD></TR></TABLE></DIV>

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   <TD width="40%"></TD>

   <TD width="46%"></TD>

   <TD width="13%"></TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>9</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of April 30, 2011 </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation Income Trust IV</FONT></B><BR><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Overview</FONT></B><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation Income Trust IV&#8217;s (BTZ) (the &#8220;Fund&#8221;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment objective is to provide current income, current gains and capital appreciation.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its assets in credit-related securities,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>including, but not limited to, investment grade corporate bonds, high yield bonds (commonly referred to as &#8220;junk&#8221; bonds), bank loans, preferred securities</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or convertible bonds or derivatives with economic characteristics similar to these credit-related securities. The Fund may invest directly in such securities</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or synthetically through the use of derivatives.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No assurance can be given that the Fund&#8217;s investment objective will be achieved.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Management Commentary</FONT></B><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>How did the Fund perform?</FONT><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended April 30, 2011, the Fund returned (1.74)%</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on market price and 3.15% based on NAV. For the same period,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the closed-end Lipper Corporate Debt Funds (BBB-Rated) category</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>posted an average return of (0.45)% based on market price and 2.46%</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on NAV. All returns reflect reinvestment of dividends. The Fund's</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>discount to NAV, which widened during the period, accounts for the dif-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ference between performance based on price and performance based</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on NAV. The following discussion relates to performance based on NAV.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>What factors influenced performance?</FONT><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The primary driver of the Fund&#8217;s positive performance was its allocation</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to high yield corporate credit, as the sector broadly rallied during the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period on improving fundamentals and continued signs of economic</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recovery in the United States. Also contributing positively was the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#8217;s allocation and security selection within investment grade corpo-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate credit. In particular, an allocation to capital securities, including</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>trust preferreds and hybrid securities, had a positive impact due to a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>technical rally in that space sparked by the favorable outcome of finan-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cial regulatory reform. Within the industrials sector, the Fund&#8217;s prefer-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ence for media cable and media non-cable as well as wireless names</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>boosted returns as these industries performed well during the period.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund also benefited from reducing its portfolio duration (sensitivity</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to interest rates) in the first half of the period, as interest rates rose fol-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lowing the announcement from the US Federal Reserve that it would</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>implement a second round of quantitative easing.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Conversely, the Fund&#8217;s shorter duration bias hurt performance in the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>later half of the period when interest rates turned lower on rising oil</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>prices and the disastrous earthquake in Japan. In addition, as the yield</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>curve steepened near the end of 2010 and into early 2011, the Fund&#8217;s</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>yield curve-flattening bias (fewer holdings of short-dated bonds in favor</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of longer-dated bonds) detracted from performance. Lastly, the Fund&#8217;s</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financials and utilities holdings had a negative impact as both sectors</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>underperformed for the six-month period.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe recent portfolio activity.</FONT><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>During the six-month period, the Fund increased exposure to high yield</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>corporate credit in order to position itself to benefit from the positive</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>effects of an accommodative monetary policy fueling an economic</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recovery and improving corporate fundamentals.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe Fund positioning at period end.</FONT><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund maintained diversified exposure across investment grade</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and high yield corporate credits with a quality bias toward lower-quality</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment grade issues. The Fund ended the period with a smaller</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>allocation to financials in favor of the industrials and utilities sectors,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and a relatively short duration bias.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>views are not intended to be a forecast of future events and are no guarantee of future results.</FONT></P>

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   <TD width="13%"></TD>

   <TD width="51%"></TD>

   <TD width="34%"></TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>10</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation Income Trust IV</FONT></B></P>

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<TR>

   <TD width="60%"></TD>

   <TD width="39%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Symbol on NYSE</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BTZ</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>December 27, 2006</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on Closing Market Price as of April 30, 2011 ($12.36)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD style="TEXT-INDENT: 8px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.70%</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Monthly Distribution per Common Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.069</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Annualized Distribution per Common Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.828</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Leverage as of April 30, 2011</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 7px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21%</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The distribution rate is not constant and is subject to change.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Leveraging on page 14.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The table below summarizes the changes in the Fund&#8217;s market price and NAV per share:</FONT></P>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="33%"></TD>

   <TD width="31%" align=middle></TD>

   <TD width="10%" align=middle></TD>

   <TD width="9%" align=middle></TD>

   <TD width="9%" align=middle></TD>

   <TD width="7%" align=middle></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4/30/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>10/31/10</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Change</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>High</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Low</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market Price</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12.36</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$13.02</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5.07)%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$13.20</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$11.66</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net Asset Value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.41</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.46</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.35)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.56</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$13.69</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following charts show the portfolio composition of the Fund&#8217;s long-term investments and credit quality allocations of the Fund&#8217;s long-term investments:</FONT></P>

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<TR>

   <TD width="51%"></TD>

   <TD width="32%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=middle><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Composition</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4/30/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>10/31/10</FONT></B>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>73%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>64%</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Preferred Securities</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Treasury Obligations</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Taxable Municipal Bonds</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset Backed Securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="21%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4/30/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>10/31/10</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AA/Aa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BBB/Baa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>44</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BB/Ba</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCC/Caa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Not Rated</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using the higher of S&amp;P&#8217;s or Moody&#8217;s ratings.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

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<TR>

   <TD width="40%"></TD>

   <TD width="46%"></TD>

   <TD width="13%"></TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>11</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Fund Summary </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>as of April 30, 2011 </FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Trust</FONT></B><BR><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Overview</FONT></B><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Trust&#8217;s (BGT) (the &#8220;Fund&#8221;) </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>primary investment objective is to provide a high level of current income. The Fund&#8217;s secondary</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment objective is to seek the preservation of capital. The Fund seeks to achieve its investment objectives by investing primarily, under normal condi-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions, at least 80% of its assets in floating and variable rate instruments of US and non-US issuers, including a substantial portion of its assets in global</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>floating and variable rate securities including senior secured floating rate loans made to corporate and other business entities. Under normal market condi-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions, the Fund expects that the average effective duration of its portfolio will be no more than 1.5 years. The Fund may invest directly in such securities or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>synthetically through the use of derivatives.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>No assurance can be given that the Fund&#8217;s investment objectives will be achieved.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Management Commentary</FONT></B><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>How did the Fund perform?</FONT><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended April 30, 2011, the Fund returned 12.37%</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on market price and 6.49% based on NAV. For the same period,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the closed-end Lipper Loan Participation Funds category posted an</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>average return of 11.45% based on market price and 6.56% based on</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NAV. All returns reflect reinvestment of dividends. The Fund's premium</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to NAV, which widened during the period, accounts for the difference</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between performance based on price and performance based on NAV.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following discussion relates to performance based on NAV.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>What factors influenced performance?</FONT><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The main driver of positive performance for the period was the Fund&#8217;s</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>allocation (approximately 10% of the portfolio) to high yield bonds, as</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the asset class outperformed Floating Rate Loan Interests (bank loans).</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In addition, the Fund maintained its level of leverage at or above the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lipper category average, which benefited the Fund&#8217;s performance rela-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tive to its peer group competitors that do not employ leverage, as would</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be expected when markets are advancing.</FONT><BR><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>As a matter of investment style, the Fund holds a considerable alloca-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion to foreign bonds (approximately 30% of the portfolio). Many of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>those non-US issuers have investment grade credit quality ratings,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>such as Gazprom (Russia), which underperformed the Fund&#8217;s high</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>yield bond holdings.</FONT><BR><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund uses foreign currency exchange contracts to manage currency</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risk in the portfolio. The net effect of the contracts duing the period</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>was negative.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe recent portfolio activity.</FONT><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>During the six-month period, the Fund decreased its exposure to higher-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quality high yield credits and increased exposure to high yield credits</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with mid-range quality ratings as the economy gradually expanded and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a robust new-issue market provided greater access to attractive oppor-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tunities. Relative to its competitors, the Fund continues to maintain a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>bias towards higher-quality and more liquid borrowers, sectors and loan</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>structures, particularly as loan prices generally are approaching par.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>Describe Fund positioning at period end.</FONT><BR><FONT color=#231f20 size=5 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>At period end, the Fund held 85% of its total portfolio in bank loans</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and 15% in fixed-rate bonds, primarily high yield, with the remainder</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>invested in a mix of convertible bonds, preferred securities, equities and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cash. The Fund ended the period with leverage at approximately 31% of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>its total managed assets.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>views are not intended to be a forecast of future events and are no guarantee of future results.</FONT></P>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>12</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Trust</FONT></B></P>

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<TR>

   <TD width="61%"></TD>

   <TD width="38%"></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fund Information</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Symbol on NYSE</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 6px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BGT</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Offering Date</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>August 30, 2004</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on Closing Market Price as of April 30, 2011 ($15.65)</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD style="TEXT-INDENT: 6px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.94%</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Monthly Distribution per Common Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0775</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Current Annualized Distribution per Common Share</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.9300</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Leverage as of April 30, 2011</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The distribution rate is not constant and is subject to change.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" colSpan=2 align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Represents the loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings) minus the sum</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>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</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on page 14.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The table below summarizes the changes in the Fund&#8217;s market price and NAV per share:</FONT></P>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="33%"></TD>

   <TD width="31%"></TD>

   <TD width="10%"></TD>

   <TD width="8%"></TD>

   <TD width="9%"></TD>

   <TD width="7%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4/30/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>10/31/10</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Change</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>High</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Low</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market Price</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$15.65</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.52</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.78%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$17.00</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.04</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net Asset Value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.79</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.48</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.14%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.80</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14.35</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following charts show the portfolio composition of the Fund&#8217;s long-term investments and credit quality allocations of the Fund&#8217;s long-term investments</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>excluding common stocks and floating rate loan interests:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="53%"></TD>

   <TD width="30%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=middle><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Composition</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4/30/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>10/31/10</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>79%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign Agency Obligations</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other Interests</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset Backed Securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="24%"></TD>

   <TD width="13%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4/30/11</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>10/31/10</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AA/Aa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BBB/Baa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BB/Ba</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>B</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCC/Caa</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Not Rated</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=middle><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22</FONT><SUP><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using the higher of S&amp;P&#8217;s or Moody&#8217;s ratings.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=3 align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The investment advisor has deemed certain of these non-rated securities to be of</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=3 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment grade quality. As of October 31, 2010, the market value of these securi-</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ties was $606,918 representing 1% of the Fund's long-term investments.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="40%"></TD>

   <TD width="46%"></TD>

   <TD width="13%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>13</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

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<!--$$/page=--><A name="page_15"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>The Benefits and Risks of Leveraging</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may utilize leverage to seek to enhance the yield and NAV of their</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>common shares (&#8220;Common Shares&#8221;). However, these objectives cannot be</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>achieved in all interest rate environments.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may utilize leverage by borrowing through a credit facility or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>entering into reverse repurchase agreements. PSW, PSY, BPP, BTZ and BGT</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>had auction market preferred shares (&#8220;Preferred Shares&#8221;) issuances out-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>standing during the six-month period ended April 30, 2011. In general, the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>concept of leveraging is based on the premise that the cost of assets to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be obtained from leverage, which will be based on short-term interest</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates, will normally be lower than the income earned by each Fund on</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>its longer-term portfolio investments. To the extent that the total assets of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each Fund (including the assets obtained from leverage) are invested in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>higher-yielding portfolio investments, each Fund&#8217;s Common Shareholders</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>will benefit from the incremental net income.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The interest earned on securities purchased with the proceeds from lever-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>age is paid to Common Shareholders in the form of dividends, and the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value of these portfolio holdings is reflected in the per share NAV of each</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#8217;s Common Shares. However, in order to benefit Common Shareholders,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the yield curve must be positively sloped; that is, short-term interest rates</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>must be lower than long-term interest rates. If the yield curve becomes</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>negatively sloped, meaning short-term interest rates exceed long-term</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest rates, income to Common Shareholders will be lower than if the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds had not used leverage.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>To illustrate these concepts, assume a Fund&#8217;s capitalization is $100 million</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and it borrows an additional $30 million, creating a total value of $130 mil-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lion available for investment in long-term securities. If prevailing short-term</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest rates are 3% and long-term interest rates are 6%, the yield curve</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>has a strongly positive slope. In this case, the Fund pays borrowing cost and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest expense on the $30 million of borrowings based on the lower short-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>term interest rates. At the same time, the securities purchased by the Fund</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with assets received from the borrowings earn income based on long-term</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest rates. In this case, the borrowing cost and interest expense of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrowings is significantly lower than the income earned on the Fund&#8217;s</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>long-term investments, and therefore the Common Shareholders are the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>beneficiaries of the incremental net income.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>If short-term interest rates rise, narrowing the differential between short-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>term and long-term interest rates, the incremental net income pickup on</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Common Shares will be reduced or eliminated completely. Furthermore,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>if prevailing short-term interest rates rise above long-term interest rates of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6%, the yield curve has a negative slope. In this case, the Fund pays divi-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>dends on the higher short-term interest rates whereas the Fund&#8217;s total</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>portfolio earns income based on lower long-term interest rates.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Furthermore, the value of a Fund&#8217;s portfolio investments generally varies</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>inversely with the direction of long-term interest rates, although other factors</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>can influence the value of portfolio investments. In contrast, the redemption</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value of the Funds&#8217; borrowings does not fluctuate in relation to interest</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates. As a result, changes in interest rates can influence each Fund&#8217;s NAV</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>positively or negatively in addition to the impact on Fund performance from</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>leverage and borrowings discussed above.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The use of leverage may enhance opportunities for increased income to the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds and Common Shareholders, but as described above, it also creates</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risks as short or long-term interest rates fluctuate. Leverage also will gener-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ally cause greater changes in the Funds&#8217; NAVs, market prices and dividend</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates than comparable portfolios without leverage. If the income derived</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>from securities purchased with assets received from leverage exceeds the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cost of leverage, each Fund&#8217;s net income will be greater than if leverage had</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>not been used. Conversely, if the income from the securities purchased is</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>not sufficient to cover the cost of leverage, each Fund&#8217;s net income will be</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>less than if leverage had not been used, and therefore the amount available</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for distribution to Common Shareholders will be reduced. Each Fund may be</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>required to sell portfolio securities at inopportune times or at distressed</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>values in order to comply with regulatory requirements applicable to the use</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of leverage or as required by the terms of leverage instruments which may</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cause a Fund to incur losses. The use of leverage may limit each Fund&#8217;s abil-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ity to invest in certain types of securities or use certain types of hedging</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>strategies. Each Fund will incur expenses in connection with the use of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>leverage, all of which are borne by Common Shareholders and may reduce</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>income to the Common Shares.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Under the Investment Company Act of 1940, each Fund is permitted to bor-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>row up to 33</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><SUP> 1 </SUP>/<SUB> 3 </SUB></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>% of its total managed assets. Under normal circumstances,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each Fund anticipates that the total economic leverage from reverse repur-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>chase agreements and credit facility borrowings will not exceed 33</FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><SUP> 1 </SUP>/<SUB> 3 </SUB></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>% of its</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>total managed assets at the time such leverage is incurred. As of April 30,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011, the Funds had economic leverage from reverse repurchase agree-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments and/or credit facility borrowings as a percentage of their total man-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>aged assets as follows:</FONT></P>

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   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Percent of</FONT></B>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Leverage</FONT></B>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSW</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25%</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSY</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25%</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BPP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19%</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BTZ</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21%</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BGT</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31%</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<TR>

   <TD width="13%"></TD>

   <TD width="51%"></TD>

   <TD width="34%"></TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>14</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Derivative Financial Instruments</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may invest in various derivative financial instruments, including</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial futures contracts, swaps, options and foreign currency exchange</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts, as specified in Note 2 of the Notes to Financial Statements,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which may constitute forms of economic leverage. Such instruments are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>used to obtain exposure to a market without owning or taking physical cus-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tody of securities or to hedge market, equity, credit, foreign currency</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange rate, interest rate and/or other risks. Such derivative financial</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>instruments involve risks, including the imperfect correlation between the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value of a derivative instrument and the underlying asset, possible default</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the counterparty to the transaction or illiquidity of the derivative instru<FONT size=2 face=Arial>-<BR></FONT></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment. The Funds&#8217; ability to use a derivative instrument successfully</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>depends on the investment advisor&#8217;s ability to predict pertinent market</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>movements accurately, which cannot be assured. The use of derivative</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial instruments may result in losses greater than if they had not been</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>used, may require a Fund to sell or purchase portfolio investments at inop-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>portune times or for distressed values, may limit the amount of apprecia-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion a Fund can realize on an investment, may result in lower dividends</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>paid to shareholders or may cause a Fund to hold an investment that it</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>might otherwise sell. The Funds&#8217; investments in these instruments are dis-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cussed in detail in the Notes to Financial Statements.</FONT></P>

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   <TD width="40%"></TD>

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   <TD width="13%"></TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>15</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></STRONG><BR>Schedule of Investments </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>April 30, 2011 (Unaudited) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

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<TR>

   <TD width="63%"></TD>

   <TD width="17%"></TD>

   <TD width="18%"></TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset-Backed Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Atrium CDO Corp., Series 5A, Class A4,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.83%, 7/20/20 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 542,750</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SLM Student Loan Trust, Series 2004-B, Class A2,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.51%, 6/15/21 (b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>573</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>558,562</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Asset-Backed Securities &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,101,312</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

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   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#8212; 1.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BE Aerospace, Inc., 8.50%, 7/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>560</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>624,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bombardier, Inc., 7.75%, 3/15/20 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>720</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>801,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Huntington Ingalls Industries, Inc. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>90</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>94,725</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.13%, 3/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>90</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>94,725</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kratos Defense &amp; Security Solutions, Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 6/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>342</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375,345</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,991,095</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Airlines Pass-Through Trust, Series 2011-1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A, 5.25%, 7/31/22</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>315,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Continental Airlines Pass-Through Certificates,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2009-2, Class B, 9.25%, 5/10/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>356</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375,789</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Air Lines, Inc., Series 02G1, 6.72%, 7/02/24</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>294</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>297,722</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>988,761</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Icahn Enterprises LP:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 1/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>206,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 1/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>516,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>722,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beverages &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Constellation Brands, Inc., 7.25%, 5/15/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>460</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>501,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Building Materials Corp. of America (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 2/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>88,613</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 5/01/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>270</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>273,712</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nortek, Inc., 10.00%, 12/01/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>235,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>597,725</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#8212; 4.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ameriprise Financial, Inc., 5.30%, 3/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>810,774</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Goldman Sachs Group, Inc., 6.25%, 2/01/41 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,050</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,077,214</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Macquarie Bank Ltd., 6.63%, 4/07/21 (a)(c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>525</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>543,407</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Morgan Stanley, 5.75%, 1/25/21 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,025</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,066,167</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG (c):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.25%, 1/28/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>379,631</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.88%, 7/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>650</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>714,591</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,591,784</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CF Industries, Inc., 7.13%, 5/01/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>286,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Omnova Solutions, Inc., 7.88%, 11/01/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>170</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>174,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>460,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 8.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amsouth Bank, 4.85%, 4/01/13</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>203,739</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Associated Banc-Corp., 5.13%, 3/28/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>515</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>524,774</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BNP Paribas, 3.60%, 2/23/16 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,020</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,037,168</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Branch Banking &amp; Trust Co. (b):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.00%, 9/13/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>241,091</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.00%, 5/23/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>140,613</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="7%"></TD>

   <TD width="11%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., 6.63%, 4/01/18 (a)</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 378</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 406,034</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>City National Corp., 5.25%, 9/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>560,534</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Comerica, Inc., 3.00%, 9/16/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>553,027</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Agricole SA, 8.38%, 10/29/49 (a)(b)(c)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>382,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Discover Bank, 8.70%, 11/18/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>368,905</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fifth Third Bamcorp, 3.63%, 1/25/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>659,479</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HSBC Holdings Plc, 5.10%, 4/05/21 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,338,016</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>KeyCorp, 5.10%, 3/24/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>184,359</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lloyds TSB Bank Plc, 4.88%, 1/21/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>209,937</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Regions Financial Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.88%, 4/26/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>610,877</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 6/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>460</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>473,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SVB Financial Group, 5.38%, 9/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>546,967</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Societe Generale, 5.20%, 4/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>706,093</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SunTrust Banks, Inc., 3.60%, 4/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>202,578</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,350,366</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#8212; 3.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aviation Capital Group Corp. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.13%, 10/15/20 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,280,823</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 4/06/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>554,306</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Casella Waste Systems, Inc., 7.75%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>149</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>152,352</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clean Harbors, Inc., 7.63%, 8/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>306</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>327,420</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corrections Corp. of America, 7.75%, 6/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>775</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>848,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mobile Mini, Inc., 7.88%, 12/01/20 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69,063</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,232,589</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Communications Equipment &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avaya, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.75%, 11/01/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>206,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 4/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>123,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brocade Communications Systems, Inc., 6.88%, 1/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>761,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CC Holdings GS V LLC, 7.75%, 5/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>243,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,334,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inversiones CMPC SA, 4.75%, 1/19/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>197,334</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#8212; 5.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Express Credit Corp., 2.75%, 9/15/15 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,395,572</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital One Bank USA NA, 8.80%, 7/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>775</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>992,535</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Credit Co. LLC, 7.00%, 4/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>109,829</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inmarsat Finance Plc, 7.38%, 12/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>520</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>549,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SLM Corp., 6.25%, 1/25/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,050</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,234,049</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,281,885</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ball Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.13%, 9/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>436,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 9/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>505</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>531,512</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bemis Co., Inc., 6.80%, 8/01/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>230,622</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crown Americas LLC, 6.25%, 2/01/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>205,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Owens-Brockway Glass Container, Inc., 6.75%, 12/01/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>135</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>137,869</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rock-Tenn Co., 9.25%, 3/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>75</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>81,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,623,253</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 6.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ally Financial, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.50%, 2/11/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>227,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.30%, 2/12/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>390</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>438,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 11/01/31</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>470</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>529,925</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank of America Corp., 3.63%, 3/17/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,175</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,180,968</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citigroup, Inc., 4.59%, 12/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>238,108</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Electric Capital Corp., 5.30%, 2/11/21 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,125</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,167,338</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Moody&#8217;s Corp., 6.06%, 9/07/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,575,147</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="2%"></TD>

   <TD width="37%"></TD>

   <TD width="8%"></TD>

   <TD width="16%"></TD>

   <TD width="16%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Portfolio Abbreviations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>To simplify the listings of portfolio holdings in the Schedules of</FONT>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>CAD</FONT></B>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Canadian Dollar</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>GO</FONT></B>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Obligation Bonds</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments, the names of many of the securities have been</FONT>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>CHF</FONT></B>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swiss Franc</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>LIBOR</FONT></B>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>London InterBank Offered Rate</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>abbreviated according to the following list:</FONT>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>EUR</FONT></B>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euro</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>RB</FONT></B>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revenue Bonds</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>FKA</FONT></B>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Formerly Known As</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>USD</FONT></B>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Dollar</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>GBP</FONT></B>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>British Pound</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;<FONT color=#231f20 size=1 face=Arial>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left></TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

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<!--$$/page=--><A name="page_18"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></STRONG><BR>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="61%"></TD>

   <TD width="19%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Issuer, Inc. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 155</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 159,844</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>190</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>193,088</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,710,418</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#8212; 4.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AT&amp;T, Inc., 6.30%, 1/15/38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,054,861</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 Financing, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.75%, 2/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>390</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>403,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>130</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>140,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.38%, 4/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>210</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>223,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Corp., 8.38%, 5/01/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>390</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>463,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Telecom Italia Capital SA, 6.18%, 6/18/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>245,394</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Telefonica Emisiones SAU, 5.46%, 2/16/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>310</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>321,752</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verizon Communications, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.95%, 3/28/14 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>875</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>882,521</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.35%, 4/01/39</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>925</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,107,538</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Windstream Corp., 7.88%, 11/01/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>432,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,274,366</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Progress Energy, Inc., 7.00%, 10/30/31</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,166,797</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&amp; Components &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Jabil Circuit, Inc., 8.25%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>229,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NXP BV, 3.05%, 10/15/13 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>696,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>926,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ensco Plc, 4.70%, 3/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>460</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>464,427</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Frac Tech Services LLC, 7.13%, 11/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>90,525</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Key Energy Service, Inc., 6.75%, 3/01/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>175</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>179,812</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MEG Energy Corp., 6.50%, 3/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>230,906</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>965,670</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#8212; 2.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CVS Caremark Corp., 6.30%, 6/01/62 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>792,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wal-Mart Stores, Inc., 6.20%, 4/15/38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,825</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,017,103</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,809,103</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Blue Merger Sub, Inc., 7.63%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>102,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kraft Foods, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 8/11/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>385</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>446,565</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.13%, 8/23/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>390</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>442,247</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smithfield Foods, Inc., 10.00%, 7/15/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>86</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>101,910</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,093,097</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Gas Utilities &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Targa Resources Partners LP, 6.88%, 2/01/21 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>115</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>114,425</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Boston Scientific Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.50%, 1/15/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53,492</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.40%, 6/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,412</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.13%, 1/12/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>181</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>190,419</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.38%, 1/15/40</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>690</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>798,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>573,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,665,448</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 2.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aetna, Inc., 6.75%, 12/15/37</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>910,806</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aviv Healthcare Properties LP, 7.75%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>105</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>110,775</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.50%, 4/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>138,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 9/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>209,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tenet Healthcare Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>406,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.88%, 7/01/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>282,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UnitedHealth Group, Inc., 6.88%, 2/15/38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>919,714</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,978,170</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cemex Espana Luxembourg, 9.25%, 5/12/20 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>365</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>373,212</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="7%"></TD>

   <TD width="11%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.38%, 6/15/19</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 170</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 173,187</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 1/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.63%, 1/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>301,469</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>514,456</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AES Corp., 9.75%, 4/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>235</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>272,012</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Intermediate Holding Co. LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 12/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>345</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>370,903</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NRG Energy, Inc., 8.25%, 9/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>115</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121,038</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>763,953</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#8212; 7.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Allstate Corp., 7.45%, 5/16/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,084,129</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American International Group, Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.40%, 12/15/20 (c)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>410</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>448,547</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aon Corp., 5.00%, 9/30/20 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,642,432</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dai-ichi Life Insurance Co., Ltd.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 12/31/49 (a)(b)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>138</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>138,609</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Forethough Financial Group, 8.63%, 4/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>251,894</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Genworth Financial, Inc., 7.63%, 9/24/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>231,090</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lincoln National Corp., 6.25%, 2/15/20 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>898,462</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Manulife Financial Corp., 4.90%, 9/17/20 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,001,433</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Northwestern Mutual Life Insurance,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.06%, 3/30/40 (a)(c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>967,536</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Principal Financial Group, Inc., 8.88%, 5/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>288,098</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Prudential Financial, Inc., 6.63%, 12/01/37 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>892,352</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,844,582</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Life Sciences Tools &amp; Services &#8212; 1.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bio-Rad Laboratories, Inc., 8.00%, 9/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>865</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>962,312</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Life Technologies Corp., 6.00%, 3/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,095,219</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,057,531</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ingersoll-Rand Global Holding Co., Ltd.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.50%, 4/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>963,298</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navistar International Corp., 8.25%, 11/01/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>230</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>256,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,219,748</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 8.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CSC Holdings LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.50%, 6/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>436,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.63%, 2/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>316,938</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.50%, 1/15/15 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>365</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375,037</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Comcast Corp., 6.30%, 11/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>919,931</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cox Communications, Inc., 8.38%, 3/01/39 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,056,769</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DISH DBS Corp., 7.00%, 10/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DirectTV Holdings LLC, 5.00%, 3/01/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>615,563</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gannett Co., Inc., 9.38%, 11/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>506,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Bermuda Ltd. (e):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.50%, 2/04/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>60</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.50%, 2/04/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>90</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98,550</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kabel BW Erste Beteiligungs GmbH,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 3/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>230</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>235,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>News America, Inc., 6.15%, 3/01/37</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>970,810</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Time Warner Cable, Inc., 6.75%, 6/15/39</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>925</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,005,415</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Time Warner, Inc., 7.70%, 5/01/32</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,145,338</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Germany GmbH, 8.13%, 12/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>253,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Secured Finance Plc, 6.50%, 1/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>657,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,145,351</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 2.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alcoa, Inc., 5.40%, 4/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>580</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>588,913</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Freeport-McMoRan Corp., 7.13%, 11/01/27</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>744,669</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JMC Steel Group, 8.25%, 3/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>75</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>78,563</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Novelis, Inc., 8.75%, 12/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>268,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Teck Resources Ltd., 10.75%, 5/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>511,520</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>United States Steel Corp., 7.38%, 4/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,234,065</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="51%"></TD>

   <TD width="37%"></TD>

   <TD width="11%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 29px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>17</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<!--$$/page=--><A name="page_19"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></STRONG><BR>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="17%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CenterPoint Energy, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.95%, 2/01/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 825,322</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>775</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>877,166</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,702,488</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#8212; 1.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp., 10.63%, 7/15/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>802,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JC Penney Co., Inc., 5.65%, 6/01/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>698,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 7.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Anadarko Petroleum Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.95%, 9/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>289</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>322,810</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.38%, 9/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,295</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BP Capital Markets Plc (c):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.88%, 3/10/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>367,096</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.20%, 3/11/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>428,451</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Buckeye Partners LP, 4.88%, 2/01/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>228,908</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chesapeake Energy Corp., 6.13%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>770</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>795,025</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Consol Energy, Inc., 6.38%, 3/01/21 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195,975</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Copano Energy LLC, 7.13%, 4/01/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>130</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>133,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Denbury Resources, Inc., 6.38%, 8/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>135</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>139,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Enbridge Energy Partners LP, 9.88%, 3/01/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>627,478</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>245,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Enterprise Products Operating LLC, 6.65%, 4/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,160,801</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Forest Oil Corp., 7.25%, 6/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>105</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>109,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kinder Morgan Energy Partners LP, 6.85%, 2/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,164,871</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Linn Energy LLC, 7.75%, 2/01/21 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>245</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>262,456</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marathon Petroleum Corp., 3.50%, 3/01/16 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>329,307</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ONEOK Partners LP, 8.63%, 3/01/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,018,774</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Oasis Petroleum, Inc., 7.25%, 2/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>90</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>90,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Petrobras International Finance Co., 3.88%, 1/27/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>354,822</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Range Resources Corp., 6.75%, 8/01/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>214,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SM Energy Co., 6.63%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>115</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>118,738</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SandRidge Energy, Inc., 7.50%, 3/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>170</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>178,925</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,497,532</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#8212; 2.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Georgia-Pacific LLC, 8.25%, 5/01/16 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>785</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>890,975</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>International Paper Co.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 8/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>775</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>925,046</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.30%, 11/15/39</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>913,506</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,729,527</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#8212; 7.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bristol-Myers Squibb Co., 5.88%, 11/15/36</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>892</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>981,919</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GlaxoSmithKline Capital, Inc., 6.38%, 5/15/38 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,690</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,933,384</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Merck &amp; Co., Inc. (c):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 12/01/33</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>565,756</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.55%, 9/15/37</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,504</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,788,824</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pfizer, Inc., 7.20%, 3/15/39</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,157,112</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,426,995</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Investment Trusts (REITs) &#8212; 1.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AvalonBay Communities, Inc., 6.10%, 3/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>903,629</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ERP Operating LP, 5.75%, 6/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>896,113</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCP, Inc., 5.38%, 2/01/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>259,864</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,059,606</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realogy Corp., 7.88%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>160</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>161,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Road &amp; Rail &#8212; 1.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asciano Finance Ltd., 5.00%, 4/07/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>203,493</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avis Budget Car Rental LLC, 8.25%, 1/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>155</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>164,687</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Florida East Coast Railway Corp., 8.13%, 2/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Hertz Corp., 6.75%, 4/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>207</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>211,140</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Norfolk Southern Corp., 6.00%, 3/15/2105</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,180,291</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,802,011</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="17%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advanced Micro Devices, Inc., 7.75%, 8/01/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 190</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 198,075</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>KLA-Tencor Corp., 6.90%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>461</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>521,613</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>719,688</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AutoNation, Inc., 6.75%, 4/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>445</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>466,137</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Best Buy Co., Inc., 5.50%, 3/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>352,088</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Claire&#8217;s Escrow Corp., 8.88%, 3/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121,563</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Limited Brands, Inc., 7.00%, 5/01/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>230</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>243,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,183,588</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Tobacco &#8212; 1.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Altria Group, Inc., 10.20%, 2/06/39</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,050</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,537,096</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#8212; 2.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Tower Corp., 4.50%, 1/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>444,673</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cricket Communications, Inc., 7.75%, 5/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>155</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>165,463</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crown Castle Towers LLC (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 1/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>293,290</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.11%, 1/15/40</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>324,682</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Digicel Group Ltd., 8.25%, 9/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>132,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Jackson Holdings SA (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 4/01/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,844</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 4/01/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>140</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>142,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nextel Communications, Inc., Series E,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>195</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>196,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SBA Tower Trust, 5.10%, 4/15/42 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,025,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,775,502</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Corporate Bonds &#8212; 102.2%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>113,826,317</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Preferred Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Trusts</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#8212; 4.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ameriprise Financial, Inc., 7.52%, 6/01/66 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>535,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State Street Capital Trust III, 8.25% (b)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>725</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>725,819</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State Street Capital Trust IV, 1.31%, 6/01/67 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,740</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,968,959</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,230,403</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 4.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ABN AMRO North America Holding Preferred Capital</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Repackaging Trust I, 6.52% (a)(b)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>760,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BNP Paribas, 7.20% (a)(b)(c)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>297,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays Bank Plc (a)(b)(d):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.93%, 9/29/49 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>405,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.43%, 12/15/49</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>155,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Agricole SA, 6.64% (a)(b)(c)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>322,805</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dresdner Funding Trust I, 8.15%, 6/30/31 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>530</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>519,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>M&amp;T Capital Trust II, 8.28%, 6/01/27</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>910</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>929,258</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>National City Preferred Capital Trust I, 12.00% (b)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>336,261</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USB Capital XIII Trust, 6.63%, 12/15/39</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>825</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>880,877</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,607,176</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 2.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ING Capital Funding Trust III, 8.44% (b)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>386,006</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JPMorgan Chase Capital XXIII, 1.31%, 5/15/77 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,085</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,593,692</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,979,698</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PPL Capital Funding, 6.70%, 3/30/67 (b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>496,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#8212; 7.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AXA SA, 6.38% (a)(b)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>921,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ace Capital Trust II, 9.70%, 4/01/30</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>652,505</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Allstate Corp., 6.50%, 5/15/67 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>516,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chubb Corp., 6.38%, 3/29/67 (b)(c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>535,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Farmers Exchange Capital, 7.05%, 7/15/28 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>503,883</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Great-West Life &amp; Annuity Insurance Co.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.15%, 5/16/46 (a)(b)(c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>515,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="13%"></TD>

   <TD width="51%"></TD>

   <TD width="34%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></STRONG><BR>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Trusts</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

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   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance (concluded)</FONT></B>&nbsp;</TD>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 680,000</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lincoln National Corp., 7.00%, 5/17/66 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>516,900</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MetLife, Inc., 6.40%, 12/15/66</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500,018</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reinsurance Group of America, 6.75%, 12/15/65 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>689,757</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swiss Re Capital I LP, 6.85% (a)(b)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>447,195</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ZFS Finance (USA) (a)(b):</FONT>&nbsp;</TD>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Trust II, 6.45%, 12/15/65</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,885,500</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Trust IV, 5.88%, 5/09/32</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>146</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>145,553</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,508,811</FONT>&nbsp;</TD></TR>

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   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#8212; 0.9%</FONT></B>&nbsp;</TD>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dominion Resources Capital Trust I, 7.83%, 12/01/27</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>514,550</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dominion Resources, Inc., 7.50%, 6/30/66 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>530,000</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,044,550</FONT>&nbsp;</TD></TR>

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   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 1.3%</FONT></B>&nbsp;</TD>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Enterprise Products Operating LLC, 8.38%, 8/01/66 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>825</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>896,156</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>509,289</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,405,445</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Capital Trusts &#8212; 21.8%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,272,958</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Preferred Stocks</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

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   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.1%</FONT></B>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dana Holding Corp., 4.00% (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>156,125</FONT>&nbsp;</TD></TR>

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   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 0.9%</FONT></B>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SG Preferred Capital II, 6.30%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>968,750</FONT>&nbsp;</TD></TR>

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   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Thrifts &amp; Mortgage Finance &#8212; 0.0%</FONT></B>&nbsp;</TD>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fannie Mae, 8.25% (f)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,120</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Freddie Mac, Series Z, 8.38% (f)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,060</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,180</FONT>&nbsp;</TD></TR>

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   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#8212; 2.8%</FONT></B>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Centaur Funding Corp., 9.08%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,720</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,054,900</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Preferred Stocks &#8212; 3.8%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,191,955</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trust Preferreds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

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   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 0.5%</FONT></B>&nbsp;</TD>

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   <TD align=left>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>566</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>587,994</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Trust Preferreds &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>587,994</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Preferred Securities &#8212; 26.1%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29,052,907</FONT>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Taxable Municipal Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Metropolitan Transportation Authority, RB,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Build America Bonds, 6.55%, 11/15/31</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>838,744</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State of California, GO, Build America Bonds,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.35%, 11/01/39</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>205</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>227,478</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Taxable Municipal Bonds &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,066,222</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>U.S. Treasury Obligations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Treasury Notes:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.63%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>528</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>542,356</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.75%, 2/15/41</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>633,937</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total U.S. Treasury Obligations &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,176,293</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Long-Term Investments</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $140,161,026) &#8212; 131.3%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>146,223,051</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="17%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Short-Term Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class, 0.10% (g)(h)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>183,531</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 183,531</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Short-Term Securities</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $183,531) &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>183,531</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Options Purchased</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Put Options &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>S&amp;P 500 Index, Strike Price USD 1,250.00,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expires 9/17/11, Broker Credit Suisse International</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69,440</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Options Purchased</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $135,240) &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69,440</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments Before Options Written</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $140,479,797) &#8212; 131.6%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>146,476,022</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Options Written</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Call Swaptions &#8212; (0.1)%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pay a fixed rate of 4.03% and receive a floating rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on 3-month LIBOR, Expires 4/16/12,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker UBS AG</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(77,823)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Put Swaptions &#8212; (0.1)%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Receive a fixed rate of 4.03% and pay a floating rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on 3-month LIBOR, Expires 4/16/12,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker UBS AG</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(50,348)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sold credit default protection on Dow Jones CDX</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>North America Investment Grade Series 16,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Strike Price $120.00, Expires 9/21/11,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker Credit Suisse International</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(25,652)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(76,000)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Options Written</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Premiums Received &#8212; $255,600) &#8212; (0.2)%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(153,823)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments, Net of Options Written</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $140,735,397*) &#8212; 131.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>146,322,199</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities in Excess of Other Assets &#8212; (31.4)%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(35,006,196)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets &#8212; 100.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$111,316,003</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>* The cost and unrealized appreciation (depreciation) of investments as of April 30,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011, as computed for federal income tax purposes, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="57%"></TD>

   <TD width="42%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 140,381,755</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6,636,174</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(541,907)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized appreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6,094,267</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These securities may be resold in transactions exempt from registration to qualified</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Variable rate security. Rate shown is as of report date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) All or a portion of security has been pledged as collateral in connection with open</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reverse repurchase agreements.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(d) Security is perpetual in nature and has no stated maturity date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Represents a payment-in-kind security which may pay interest/dividends in</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>additional par/shares.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Non-income producing security.</FONT></P>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="51%"></TD>

   <TD width="37%"></TD>

   <TD width="11%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 29px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>19</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

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<!--$$/page=--><A name="page_21"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust I, Inc. (PSW)<BR></FONT></STRONG>Schedule of Investments (continued) <BR></FONT></P>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="3%"></TD>

   <TD width="24%"></TD>

   <TD width="9%"></TD>

   <TD width="14%"></TD>

   <TD width="13%"></TD>

   <TD width="2%"></TD>

   <TD width="15%"></TD>

   <TD width="16%"></TD></TR>

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   <TD colSpan=8 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) Investments in companies considered to be an affiliate of the Fund during the</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amended, were as follows:</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Held at</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Held at</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>October 31,</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>April 30,</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Affiliate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Activity</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds, TempFund,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,884,098</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,700,567)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>183,531</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,655</FONT>&nbsp;</TD></TR>

<TR height=20>

   <TD colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif></FONT></TD>

   <TD align=left></TD>

   <TD align=left></TD>

   <TD align=left></TD></TR>

<TR vAlign=bottom>

   <TD colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(h) Represents the current yield as of report date.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR height=20>

   <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif></FONT></TD>

   <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226;</FONT>&nbsp;</TD>

   <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For Fund compliance purposes, the Fund&#8217;s industry classifications refer to any one</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or more of the industry sub-classifications used by one or more widely recognized</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or rating group indexes, and/or as defined by Fund management.</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These definitions may not apply for purposes of this report, which may combine</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=4 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>such industry sub-classifications for reporting ease.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR height=20>

   <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif></FONT></TD>

   <TD colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=7 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reverse repurchase agreements outstanding as of April 30, 2011 were as follows:</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trade</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Maturity</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Closing</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Face</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/24/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/30/20</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,541,593</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,540,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/24/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,158,230</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,156,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/24/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/15/37</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,689,986</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,688,240</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/24/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/15/38</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,844,006</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,842,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/24/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/15/39</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,040,642</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,037,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/24/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/01/39</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,078,717</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,077,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/24/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/30/40</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>916,697</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>915,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/26/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/25/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>987,615</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>986,563</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/27/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/37</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>896,898</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>896,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/27/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/15/38</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>977,229</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>976,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/27/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/15/38</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>864,876</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>864,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/03/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/01/37</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>816,758</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>816,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/07/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>751,701</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>751,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/08/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/29/37</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>513,473</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>513,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/11/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>846,714</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>846,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/11/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/17/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>950,802</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>950,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/11/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/11/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>789,062</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>788,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/11/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/01/33</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>525,318</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>524,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/23/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/23/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>974,799</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>974,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.45%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/02/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>418,519</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>418,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities, Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/03/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>226,276</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>226,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/04/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/01/41</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>999,467</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>998,813</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/07/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/16/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,050,471</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,049,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.37%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/28/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/28/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>833,738</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>833,438</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities, Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/30/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,323,485</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,323,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.37%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/31/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/15/36</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>934,231</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>933,924</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/07/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/05/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,251,554</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,251,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/11/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/17/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,110,227</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,110,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="2%"></TD>

   <TD width="23%"></TD>

   <TD width="12%"></TD>

   <TD width="13%"></TD>

   <TD width="13%"></TD>

   <TD width="17%"></TD>

   <TD width="16%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226;</FONT>&nbsp;</TD>

   <TD colSpan=6 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reverse repurchase agreements outstanding as of April 30, 2011 were as follows</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(concluded):</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trade</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Maturity</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Closing</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Face</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/12/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/28/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 363,352</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 363,281</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/12/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>677,757</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>677,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/13/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/16/46</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>487,853</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>487,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.37%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/13/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/11/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>292,261</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>291,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.37%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/13/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/16/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>519,026</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>518,925</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/29/49</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>358,375</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>358,313</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/31/49</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>312,867</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>312,813</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/18/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>673,850</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>673,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/18/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/15/38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,916,533</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,916,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities, Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/21/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/07/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>511,930</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>511,874</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities, Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/21/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/31/49</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>643,881</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>643,812</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/29/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/10/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350,010</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/29/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/11/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>408,013</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>408,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$37,828,792</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$37,802,596</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="2%"></TD>

   <TD width="10%"></TD>

   <TD width="19%"></TD>

   <TD width="19%"></TD>

   <TD width="14%"></TD>

   <TD width="33%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts purchased as of April 30, 2011 were as follows:</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts Issue</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Exchange</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>73</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2-Year U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Note</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$15,916,123&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ 80,002</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="2%"></TD>

   <TD width="9%"></TD>

   <TD width="20%"></TD>

   <TD width="19%"></TD>

   <TD width="13%"></TD>

   <TD width="16%"></TD>

   <TD width="17%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=5 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts sold as of April 30, 2011 were as follows:</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts Issue</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Exchange</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5-Year U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Note</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,574,284&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$ (59,966)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>73</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10-Year U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Note</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,666,225</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(177,041)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Long-Term U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Bond</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,763,011</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(51,614)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ultra U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Bond</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,959,242</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(61,758)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (350,379)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on single-name issuer &#8212; sold protection outstanding as of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>April 30, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="13%"></TD>

   <TD width="14%"></TD>

   <TD width="11%"></TD>

   <TD width="15%"></TD>

   <TD width="16%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Receive</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issuer</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counter-</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issuer</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>party</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rating</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MetLife, Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.00%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/20/18</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A&#8211;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,210</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using S&amp;P&#8217;s rating of the underlying securities.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The maximum potential amount the Fund may pay should a negative event take</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>place as defined under the terms of agreement.<BR></FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="13%"></TD>

   <TD width="51%"></TD>

   <TD width="34%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

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<!--$$/page=--><A name="page_22"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust I, Inc. (PSW)<BR></FONT></STRONG>Schedule of Investments (concluded) <BR></FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on traded indexes &#8212; sold protection outstanding as of April 30,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="15%"></TD>

   <TD width="11%"></TD>

   <TD width="13%"></TD>

   <TD width="14%"></TD>

   <TD width="11%"></TD>

   <TD width="15%"></TD>

   <TD width="16%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Receive</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counter-</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Index</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>party</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rating</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iTraxx-Europe</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sub</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Index</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 15</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.00%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/20/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR 1,900</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,644</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using S&amp;P&#8217;s rating of the underlying securities.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The maximum potential amount the Fund may pay should a negative event take</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>place as defined under the terms of agreement.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate swaps outstanding as of April 30, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="11%"></TD>

   <TD width="13%"></TD>

   <TD width="24%"></TD>

   <TD width="15%"></TD>

   <TD width="7%"></TD>

   <TD width="10%"></TD>

   <TD width="17%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counter-</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>party</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.98%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a)</FONT></SUP>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/30/13</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (63,910)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.34%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a)</FONT></SUP>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/41</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,982)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.38%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a)</FONT></SUP>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>International</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/41</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21,744)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.35%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a)</FONT></SUP>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/15/41</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(22,509)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (120,145)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a)</FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pays a fixed interest rate and receives floating rate.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fair Value Measurements &#8212; Various inputs are used in determining the fair value of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments and derivative financial instruments. These inputs are summarized in</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>three broad levels for financial statement purposes as follows:</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1 &#8212; price quotations in active markets/exchanges for identical assets</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and liabilities</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 2 &#8212; other observable inputs (including, but not limited to: quoted prices for</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>similar assets or liabilities in markets that are active, quoted prices for identical</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or similar assets or liabilities in markets that are not active, inputs other than</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quoted prices that are observable for the assets or liabilities (such as interest</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>default rates) or other market-corroborated inputs)</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 &#8212; unobservable inputs based on the best information available in the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>circumstances, to the extent observable inputs are not available (including the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#8217;s own assumptions used in determining the fair value of investments and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>derivative financial instruments)</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The inputs or methodologies used for valuing securities are not necessarily an</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>indication of the risk associated with investing in those securities. For information</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>about the Fund&#8217;s policy regarding valuation of investments and derivative financial</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>instruments and other significant accounting policies, please refer to Note 1 of the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following tables summarize the inputs used as of April 30, 2011 in determining</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the fair valuation of the Fund&#8217;s investments and derivative financial instruments:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="21%"></TD>

   <TD width="17%"></TD>

   <TD width="25%"></TD>

   <TD width="15%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Long-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset-Back</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 558,562&nbsp;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$542,750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,101,312</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bonds</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>113,826,317</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>113,826,317</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Preferred</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 600,174</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,452,733</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29,052,907</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Taxable</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Municipal</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bonds</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,066,222</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,066,222</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S Treasury</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Obligations</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,176,293</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,176,293</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Short-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>183,531</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>183,531</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 783,705</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$145,080,127 </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>542,750</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$146,406,582</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="21%"></TD>

   <TD width="19%"></TD>

   <TD width="24%"></TD>

   <TD width="15%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=5 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Derivative Financial Instruments</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B></TD></TR>

<TR>

   <TD colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Equity</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;&nbsp;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$69,440</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 69,440</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 80,002</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>80,002</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,854</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,854</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(350,379)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(248,316)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(598,695)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(25,652)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(25,652)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (270,377)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (240,462)</FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>43,788</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (467,051)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Derivative financial instruments are swaps, financial futures contracts, and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>options. Financial futures contracts and swaps are valued at the unrealized</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>appreciation/depreciation on the instrument and options are shown at value.<BR></FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="51%"></TD>

   <TD width="37%"></TD>

   <TD width="11%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 29px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>21</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_23"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></STRONG><BR>Schedule of Investments </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>April 30, 2011 (Unaudited) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="56%"></TD>

   <TD width="10%"></TD>

   <TD width="14%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset-Backed Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Atrium CDO Corp., Series 5A, Class A4,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.83%, 7/20/20 (a)(b)</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,212,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SLM Student Loan Trust, Series 2004-B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A2, 0.51%, 6/15/21 (b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,410</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,350,616</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Asset-Backed Securities &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,563,366</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#8212; 1.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BE Aerospace, Inc., 8.50%, 7/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,787,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bombardier, Inc., 7.75%, 3/15/20 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,205</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,569,569</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Huntington Ingalls Industries, Inc. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>360</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>378,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.13%, 3/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>380</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>399,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kratos Defense &amp; Security Solutions, Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 6/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,254</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,376,265</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,512,184</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Airlines Pass-Through Trust, Series 2011-1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A, 5.25%, 7/31/22</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,410</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,367,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Continental Airlines Pass-Through Certificates,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2009-2, Class B, 9.25%, 5/10/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,544</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,628,418</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Air Lines, Inc., Series 02G1, 6.72%, 7/02/24</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,146</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,160,620</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,156,738</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Icahn Enterprises LP:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 1/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>880</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>906,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 1/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,065,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,971,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beverages &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Constellation Brands, Inc., 7.25%, 5/15/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,970</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,147,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Building Materials Corp. of America (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 2/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>390,938</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 5/01/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,160</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,175,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nortek, Inc., 10.00%, 12/01/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>749,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,315,888</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#8212; 4.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ameriprise Financial, Inc., 5.30%, 3/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,513,354</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Goldman Sachs Group, Inc., 6.25%, 2/01/41 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,565,335</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Macquarie Bank Ltd., 6.63%, 4/07/21 (a)(c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,075</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,147,749</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Morgan Stanley, 5.75%, 1/25/21 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,915</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,072,238</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.25%, 1/28/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,627</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,647,092</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.88%, 7/15/16 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,078,239</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,024,007</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CF Industries, Inc., 7.13%, 5/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,125</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,288,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Omnova Solutions, Inc., 7.88%, 11/01/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>735</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>753,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,041,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 7.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amsouth Bank, 4.85%, 4/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,050</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,069,629</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Associated Banc-Corp., 5.13%, 3/28/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,241,752</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BNP Paribas, 3.60%, 2/23/16 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,380</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,453,720</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Branch Banking &amp; Trust Co. (b)(c):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.00%, 9/13/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,060,799</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.00%, 5/23/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>675</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>632,761</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., 6.63%, 4/01/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,617</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,736,923</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>City National Corp., 5.25%, 9/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,395,007</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="56%"></TD>

   <TD width="11%"></TD>

   <TD width="13%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Comerica, Inc., 3.00%, 9/16/15 (c)</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,312,659</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Agricole SA, 8.38%, 10/29/49 (a)(b)(c)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,475</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,611,437</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Discover Bank, 8.70%, 11/18/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,475,618</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fifth Third Bamcorp, 3.63%, 1/25/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,775</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,815,468</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HSBC Holdings Plc, 5.10%, 4/05/21 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,625</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,672,520</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>KeyCorp, 5.10%, 3/24/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>780</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>798,889</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lloyds TSB Bank Plc, 4.88%, 1/21/16 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>925</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>970,959</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Regions Financial Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.88%, 4/26/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,525</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,570,776</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 6/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,854,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SVB Financial Group, 5.38%, 9/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,287,315</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Societe Generale, 5.20%, 4/15/21 (a)(c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,850</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,874,809</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SunTrust Banks, Inc., 3.60%, 4/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>825</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>835,636</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35,670,677</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#8212; 3.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aviation Capital Group Corp. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.13%, 10/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,641,660</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 4/06/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,325</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,343,205</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Casella Waste Systems, Inc., 7.75%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>621</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>634,972</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clean Harbors, Inc., 7.63%, 8/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,314</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,405,980</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corrections Corp. of America, 7.75%, 6/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,375</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,695,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mobile Mini, Inc., 7.88%, 12/01/20 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>292,188</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,013,630</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Communications Equipment &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avaya, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.75%, 11/01/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>929,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 4/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>495,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brocade Communications Systems, Inc., 6.88%, 1/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,965</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,224,437</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CC Holdings GS V LLC, 7.75%, 5/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>935</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,033,175</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,681,862</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inversiones CMPC SA, 4.75%, 1/19/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>825</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>814,001</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#8212; 5.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Express Credit Corp., 2.75%, 9/15/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,850</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,831,497</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital One Bank USA NA, 8.80%, 7/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,325</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,258,294</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Credit Co. LLC, 7.00%, 4/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>439,315</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inmarsat Finance Plc, 7.38%, 12/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,135</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,257,763</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SLM Corp., 6.25%, 1/25/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,102,575</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,889,444</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#8212; 1.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ball Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.13%, 9/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,907,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 9/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,210</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,326,025</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crown Americas LLC, 6.25%, 2/01/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>825</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>847,687</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Owens-Brockway Glass Container, Inc., 6.75%, 12/01/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>570</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>582,113</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rock-Tenn Co., 9.25%, 3/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>354,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,017,575</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 5.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ally Financial, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.50%, 2/11/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,775</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,792,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.30%, 2/12/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,230</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,383,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 11/01/31</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,730</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,950,575</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank of America Corp., 3.63%, 3/17/16 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,025,395</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citigroup, Inc., 4.59%, 12/15/15 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>975</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,031,802</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Electric Capital Corp., 5.30%, 2/11/21 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,773,116</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Moody&#8217;s Corp., 6.06%, 9/07/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,180,354</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Issuer, Inc. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>660</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>680,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>815</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>828,244</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,646,611</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="13%"></TD>

   <TD width="51%"></TD>

   <TD width="34%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>22</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_24"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></STRONG><BR>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="59%"></TD>

   <TD width="22%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#8212; 5.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AT&amp;T, Inc., 6.30%, 1/15/38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,219,444</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 Financing, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.75%, 2/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,630</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,687,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>560</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>604,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.38%, 4/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>910</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>966,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Corp., 8.38%, 5/01/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,795</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,319,063</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Telecom Italia Capital SA, 6.18%, 6/18/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>975</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,063,374</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Telefonica Emisiones SAU, 5.46%, 2/16/21 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,360</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,411,556</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verizon Communications, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.95%, 3/28/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,681,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.35%, 4/01/39 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,025</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,819,286</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Windstream Corp., 7.88%, 11/01/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,900</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,052,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,824,823</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Progress Energy, Inc., 7.00%, 10/30/31</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,667,188</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&amp; Components &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Jabil Circuit, Inc., 8.25%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>918,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NXP BV, 3.05%, 10/15/13 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,950</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,935,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,853,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ensco Plc, 4.70%, 3/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,965</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,983,909</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Frac Tech Services LLC, 7.13%, 11/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>370</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>394,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Key Energy Service, Inc., 6.75%, 3/01/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>745</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>765,487</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MEG Energy Corp., 6.50%, 3/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>955</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>980,069</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,123,515</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#8212; 2.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CVS Caremark Corp., 6.30%, 6/01/62 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,613,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wal-Mart Stores, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 9/01/35</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,480,245</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.20%, 4/15/38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,375</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,730,259</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,824,004</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Blue Merger Sub, Inc., 7.63%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>430</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>440,213</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kraft Foods, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 8/11/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,665</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,931,247</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.13%, 8/23/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,660</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,882,385</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smithfield Foods, Inc., 10.00%, 7/15/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>374</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>443,190</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,697,035</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Gas Utilities &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Targa Resources Partners LP, 6.88%, 2/01/21 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>495</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>492,525</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Boston Scientific Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.50%, 1/15/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>215</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225,506</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.40%, 6/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>187</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>209,490</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.13%, 1/12/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>761</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800,603</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.38%, 1/15/40</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,935</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,394,389</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,579,063</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,209,051</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 3.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aetna, Inc., 6.75%, 12/15/37</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,870,924</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aviv Healthcare Properties LP, 7.75%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>460</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>485,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.50%, 4/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>545</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>604,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 9/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,435</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,692,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tenet Healthcare Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,530</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,774,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.88%, 7/01/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,125</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,271,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UnitedHealth Group, Inc., 6.88%, 2/15/38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,908,786</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,608,635</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="69%"></TD>

   <TD width="11%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cemex Espana Luxembourg, 9.25%, 5/12/20 (a)&nbsp;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,462</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,494,895</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.38%, 6/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>725</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>738,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 1/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>190</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>189,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.63%, 1/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,185</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,299,056</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,226,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AES Corp., 9.75%, 4/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>985</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,140,138</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Intermediate Holding Co. LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 12/01/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,475</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,585,743</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NRG Energy, Inc., 8.25%, 9/01/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>490</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>515,725</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,241,606</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#8212; 7.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Allstate Corp., 7.45%, 5/16/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,745,693</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American International Group, Inc., 6.40%, 12/15/20 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,690</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,848,890</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aon Corp., 5.00%, 9/30/20 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,721,992</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dai-ichi Life Insurance Co., Ltd.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 12/31/49 (a)(b)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>677</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>679,986</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Forethough Financial Group, 8.63%, 4/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,007,574</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Genworth Financial, Inc., 7.63%, 9/24/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>970</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>996,256</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lincoln National Corp., 6.25%, 2/15/20 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,818,465</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Manulife Financial Corp., 4.90%, 9/17/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,706,735</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Northwestern Mutual Life Insurance, 6.06%, 3/30/40 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,085,152</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Principal Financial Group, Inc., 8.88%, 5/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>980</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,254,825</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Prudential Financial, Inc., 6.63%, 12/01/37 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,792,496</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33,658,064</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Life Sciences Tools &amp; Services &#8212; 1.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bio-Rad Laboratories, Inc., 8.00%, 9/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,825</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,255,312</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Life Technologies Corp., 6.00%, 3/01/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,599,920</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,855,232</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ingersoll-Rand Global Holding Co., Ltd., 9.50%, 4/15/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,094,018</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navistar International Corp., 8.25%, 11/01/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>980</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,092,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,186,718</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 8.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CSC Holdings LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.50%, 6/15/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,636,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.63%, 2/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,383,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc., 10.50%, 1/15/15 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,720</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,767,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Comcast Corp., 6.30%, 11/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,909,708</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cox Communications, Inc., 8.38%, 3/01/39 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,491,267</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DISH DBS Corp., 7.00%, 10/01/13</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,890,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DirectTV Holdings LLC, 5.00%, 3/01/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,575</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,641,793</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gannett Co., Inc., 9.38%, 11/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,025,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Bermuda Ltd. (e):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.50%, 2/04/17 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>280</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>306,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.50%, 2/04/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>420</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>459,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kabel BW Erste Beteiligungs GmbH, 7.50%, 3/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,040</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,066,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>News America, Inc., 6.15%, 3/01/37</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,292,001</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Time Warner Cable, Inc., 6.75%, 6/15/39</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,050</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,402,087</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Time Warner, Inc., 7.70%, 5/01/32</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,003,319</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Germany GmbH, 8.13%, 12/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,030</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,089,225</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Secured Finance Plc, 6.50%, 1/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,675</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,929,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,293,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 2.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alcoa, Inc., 5.40%, 4/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,455</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,492,728</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Freeport-McMoRan Corp., 7.13%, 11/01/27</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,085,058</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JMC Steel Group, 8.25%, 3/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>315</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>329,963</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Novelis, Inc., 8.75%, 12/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,035</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,156,612</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Teck Resources Ltd., 10.75%, 5/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,237,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>United States Steel Corp., 7.38%, 4/01/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>211,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,513,261</FONT>&nbsp;</TD></TR></TABLE></DIV>

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   <TD width="51%"></TD>

   <TD width="37%"></TD>

   <TD width="11%"></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 29px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>23</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></STRONG><BR>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="57%"></TD>

   <TD width="9%"></TD>

   <TD width="14%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CenterPoint Energy, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.95%, 2/01/17</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,466,351</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,350</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,791,621</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,257,972</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#8212; 2.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp., 10.63%, 7/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,275</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,504,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JC Penney Co., Inc., 5.65%, 6/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,284,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,788,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 7.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Anadarko Petroleum Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.95%, 9/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,175</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,312,462</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.38%, 9/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,978</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BP Capital Markets Plc:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.88%, 3/10/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,573,267</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.20%, 3/11/16 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,875</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,890,227</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Buckeye Partners LP, 4.88%, 2/01/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,017,369</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chesapeake Energy Corp., 6.13%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,445</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,556,962</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Consol Energy, Inc., 6.38%, 3/01/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>835</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>839,175</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Copano Energy LLC, 7.13%, 4/01/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>560</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>574,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Denbury Resources, Inc., 6.38%, 8/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>575</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>592,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Enbridge Energy Partners LP, 9.88%, 3/01/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,774,115</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,025</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,048,063</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Enterprise Products Operating LLC, 6.65%, 4/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,875,364</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Forest Oil Corp., 7.25%, 6/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>445</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>462,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kinder Morgan Energy Partners LP, 6.85%, 2/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,892,458</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Linn Energy LLC, 7.75%, 2/01/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,050</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,124,812</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marathon Petroleum Corp., 3.50%, 3/01/16 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,375</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,393,223</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ONEOK Partners LP, 8.63%, 3/01/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,329,788</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Oasis Petroleum, Inc., 7.25%, 2/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>380</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>383,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Petrobras International Finance Co., 3.88%, 1/27/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,475</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,495,323</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Range Resources Corp., 6.75%, 8/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>855</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>914,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SM Energy Co., 6.63%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>480</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>495,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SandRidge Energy, Inc., 7.50%, 3/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>720</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>757,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,329,686</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#8212; 2.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Georgia-Pacific LLC, 8.25%, 5/01/16 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,859,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>International Paper Co.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 8/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,325</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,968,746</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.30%, 11/15/39</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,882,399</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,710,145</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#8212; 5.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bristol-Myers Squibb Co., 5.88%, 11/15/36 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,214</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,437,184</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GlaxoSmithKline Capital, Inc., 6.38%, 5/15/38</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,294,102</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Merck &amp; Co., Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 12/01/33 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,070</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,465,505</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.55%, 9/15/37</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,572</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,437,836</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pfizer, Inc., 7.20%, 3/15/39</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,250</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,892,781</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,527,408</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Investment Trusts (REITs) &#8212; 1.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AvalonBay Communities, Inc., 6.10%, 3/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,840,422</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ERP Operating LP, 5.75%, 6/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,405</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,814,084</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCP, Inc., 5.38%, 2/01/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,025</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,065,442</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,719,948</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realogy Corp., 7.88%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>670</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>676,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Road &amp; Rail &#8212; 1.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asciano Finance Ltd., 5.00%, 4/07/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>915,717</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avis Budget Car Rental LLC, 8.25%, 1/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>690,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Florida East Coast Railway Corp., 8.13%, 2/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>212,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Hertz Corp., 6.75%, 4/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>933</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>951,660</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Norfolk Southern Corp., 6.00%, 3/15/2105</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,917,880</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,687,882</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="57%"></TD>

   <TD width="10%"></TD>

   <TD width="13%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advanced Micro Devices, Inc., 7.75%, 8/01/20</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 775</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 807,938</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>KLA-Tencor Corp., 6.90%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,928</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,181,495</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,989,433</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AutoNation, Inc., 6.75%, 4/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,965</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,058,337</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Best Buy Co., Inc., 5.50%, 3/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,307,756</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Claire&#8217;s Escrow Corp., 8.88%, 3/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>530</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>515,425</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Limted Brands, Inc., 7.00%, 5/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>980</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,038,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,920,318</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Tobacco &#8212; 1.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Altria Group, Inc., 10.20%, 2/06/39</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,441,164</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#8212; 2.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Tower Corp., 4.50%, 1/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,925</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,902,212</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cricket Communications, Inc., 7.75%, 5/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>670</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>715,225</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crown Castle Towers LLC (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 1/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,175</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,253,148</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.11%, 1/15/40</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,406,958</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Jackson Holdings SA (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 4/01/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>190</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>193,206</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 4/01/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>620</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>629,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nextel Communications, Inc., Series E, 6.88%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>840</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>848,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SBA Tower Trust, 5.10%, 4/15/42 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,225</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,330,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,279,074</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Corporate Bonds &#8212; 99.1%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>470,000,749</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Preferred Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Trusts</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#8212; 4.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ameriprise Financial, Inc., 7.52%, 6/01/66 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,678,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State Street Capital Trust III, 8.25% (b)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,920</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,923,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State Street Capital Trust IV, 1.31%, 6/01/67 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,235</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,268,767</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,870,192</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 7.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BNP Paribas, 7.20% (a)(b)(c)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,485,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank One Capital III, 8.75%, 9/01/30</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,551,106</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays Bank Plc, 7.43% (a)(b)(c)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>674,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Agricole SA, 6.64% (a)(b)(c)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,475</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,360,392</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dresdner Funding Trust I, 8.15%, 6/30/31 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,240</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,195,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HSBC Capital Funding LP/Jersey Channel Islands,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.18% (a)(b)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,835</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,527,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>M&amp;T Capital Trust II, 8.28%, 6/01/27</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,630</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,706,818</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>National City Preferred Capital Trust I, 12.00% (b)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,232,957</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NationsBank Capital Trust III, 0.84%, 1/15/27 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,470</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,793,673</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USB Capital XIII Trust, 6.63%, 12/15/39</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,737,055</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,264,151</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 1.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ING Capital Funding Trust III, 8.44% (b)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,737,029</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JPMorgan Chase Capital XXIII, 1.31%, 5/15/77 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,775</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,377,520</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,114,549</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PPL Capital Funding, 6.70%, 3/30/67 (b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,981,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#8212; 8.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AXA SA, 6.38% (a)(b)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,763,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ace Capital Trust II, 9.70%, 4/01/30</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,262,525</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Allstate Corp., 6.50%, 5/15/67 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,162,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American General Capital II, 8.50%, 7/01/30</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>113,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aon Corp., 8.21%, 1/01/27</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,825,267</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chubb Corp., 6.38%, 3/29/67 (b)(c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,140,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Farmers Exchange Capital, 7.05%, 7/15/28 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,519,415</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,925</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,978,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>24</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></STRONG><BR>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

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   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Trusts</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lincoln National Corp., 7.00%, 5/17/66 (b)</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,463,230</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MetLife, Inc., 6.40%, 12/15/66</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,325</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,325,120</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nationwide Life Global Funding I, 6.75%, 5/15/67</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,307,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Principal Life Insurance Co., 8.00%, 3/01/44 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,743,693</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reinsurance Group of America, 6.75%, 12/15/65 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,956,101</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swiss Re Solutions Holding Corp., 7.75%, 6/15/30 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,340,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ZFS Finance (USA) Trust IV, 5.88%, 5/09/32 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>379</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>377,840</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41,278,641</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#8212; 1.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dominion Resources Capital Trust I, 7.83%, 12/01/27</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,572,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dominion Resources, Inc., 7.50%, 6/30/66 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,900</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,134,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,706,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 1.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Enterprise Products Operating LLC, 8.38%, 8/01/66 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,172,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,074,312</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,246,812</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Road &amp; Rail &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BNSF Funding Trust I, 6.61%, 12/15/55 (b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,750</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,895,312</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Capital Trusts &#8212; 26.4%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>125,357,657</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Preferred Stocks</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dana Holding Corp., 4.00% (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>624,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SG Preferred Capital II, 6.30%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,937,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Thrifts &amp; Mortgage Finance &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fannie Mae, 8.25% (f)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,560</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Freddie Mac, Series Z, 8.38% (f)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,280</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56,840</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Centaur Funding Corp., 9.08%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,423</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,721,332</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Preferred Stocks &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,340,172</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trust Preferreds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,335</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,424,924</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Trust Preferreds &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,424,924</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Preferred Securities &#8212; 28.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>133,122,753</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Taxable Municipal Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Metropolitan Transportation Authority, RB,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Build America Bonds, 6.55%, 11/15/31</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,617,083</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State of California, GO, Build America Bonds,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.35%, 11/01/39</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>870</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>965,396</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Taxable Municipal Bonds &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,582,479</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>U.S. Treasury Obligations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Treasury Notes:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.63%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,265</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,326,581</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.75%, 2/15/41</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,641,405</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total U.S. Treasury Obligations &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,967,986</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Long-Term Investments</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $595,648,591) &#8212; 130.1%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>617,237,333</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="57%"></TD>

   <TD width="6%"></TD>

   <TD width="16%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Short-Term Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class, 0.10% (g)(h)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,023,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,023,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Short-Term Securities</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $2,023,400) &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,023,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Options Purchased</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Put Options &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>S&amp;P 500 Index, Strike Price USD 1,250.00,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expires 9/17/11, Broker Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Suisse International</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>118</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>292,640</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Options Purchased</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $569,940) &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>292,640</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments Before Options Written</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $598,241,931) &#8212; 130.6%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>619,553,373</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Options Written</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Call Swaptions &#8212; (0.1)%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pay a fixed rate of 4.03% and receive a floating rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on 3-month LIBOR, Expires 4/16/12,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker UBS AG</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(332,911)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Put Swaptions &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Receive a fixed rate of 4.03% and pay a floating rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on 3-month LIBOR, Expires 4/16/12,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker UBS AG</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(215,379)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sold credit default protection on Dow Jones CDX</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>North America Investment Grade Series 16,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Strike Price $120.00, Expires 9/21/11,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker Credit Suisse International</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>148,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(108,469)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(323,848)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Options Written</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Premiums Received &#8212; $1,087,200) &#8212; (0.1)%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(656,759)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments, Net of Options Written</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $599,329,131*) &#8212; 130.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>618,896,614</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities in Excess of Other Assets &#8212; (30.5)%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(144,511,018)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets &#8212; 100.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$474,385,596</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>* The cost and unrealized appreciation (depreciation) of investments as of April 30,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011, as computed for federal income tax purposes, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="57%"></TD>

   <TD width="42%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 597,853,769</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;26,189,295</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,489,691)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized appreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;21,699,604</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These securities may be resold in transactions exempt from registration to qualified</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Variable rate security. Rate shown is as of report date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) All or a portion of security has been pledged as collateral in connection with open</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reverse repurchase agreements.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(d) Security is perpetual in nature and has no stated maturity date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Represents a payment-in-kind security which may pay interest/dividends in</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>additional par/shares.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Non-income producing security.</FONT></P>

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   <TD width="51%"></TD>

   <TD width="37%"></TD>

   <TD width="11%"></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 29px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>25</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

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<!--$$/page=--><A name="page_27"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust II, Inc. (PSY)<BR></FONT></STRONG>Schedule of Investments (continued) <BR></FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) Investments in companies considered to be an affiliate of the Fund during the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amended, were as follows:</FONT></P>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="28%"></TD>

   <TD width="21%"></TD>

   <TD width="16%"></TD>

   <TD width="18%"></TD>

   <TD width="14%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Held at</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Held at</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>October 31,</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>April 30,</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Affiliate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Activity</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds, TempFund,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,483,567</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>539,833</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,023,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,501</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>(h) Represents the current yield as of report date.<BR></FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For Fund compliance purposes, the Fund&#8217;s industry classifications refer to any one</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or more of the industry sub-classifications used by one or more widely recognized</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or rating group indexes, and/or as defined by Fund management.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These definitions may not apply for purposes of this report, which may combine</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>such industry sub-classifications for reporting ease.</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reverse repurchase agreements outstanding as of April 30, 2011 were as follows:</FONT></P>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="23%"></TD>

   <TD width="10%"></TD>

   <TD width="14%"></TD>

   <TD width="15%"></TD>

   <TD width="20%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trade Maturity</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Closing</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Face</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/02/01</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/05/15&nbsp;</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$4,363,359 </FONT></TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>4,359,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp; 11/02/03&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12/01/37</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,041,895</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,040,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/03/04</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/11/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,105,737</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,104,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BNP Paribas</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.39%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/01/05</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/10/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,538,915</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,537,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities, Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/01/05</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/16/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,580,558</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,572,160</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/02/07</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,431,199</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,428,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.20%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/04/07</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/05/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,564,280</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,564,063</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.45%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/03/09</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/28/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,558,904</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,557,853</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp; 11/02/10&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12/01/33</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,304,844</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,302,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp; 11/02/10&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,727,043</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,725,490</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/03/10</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/01/41</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,229,865</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,227,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warburg Pincus</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/16/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/15/39</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,055,620</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,051,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/03/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/15/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>980,528</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>979,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/04/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/16/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,197,867</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,196,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/04/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/16/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,309,814</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,309,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/04/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/29/47</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,121,319</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,120,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/29/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/01/37</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,484,561</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,484,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/29/49</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,510,296</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,510,031</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/31/49</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,318,512</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,318,281</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/18/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,743,530</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,743,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/21/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/31/49</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,365,146</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,365,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/21/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/15/38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,544,161</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,543,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/25/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/21/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>927,385</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>927,313</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif><BR>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reverse repurchase agreements outstanding as of April 30, 2011 were as follows</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(concluded):</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="23%"></TD>

   <TD width="10%"></TD>

   <TD width="14%"></TD>

   <TD width="14%"></TD>

   <TD width="17%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trade Maturity</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Closing</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Face</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/28/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/17/16&nbsp;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,040,079</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,040,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/28/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/30/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,485,174</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,485,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/02/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,598,536</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,595,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/02/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/25/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,757,655</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,754,485</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/02/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/11/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,299,936</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,298,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/04/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,878,588</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,878,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/04/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/13/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>970,198</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>970,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11/01/12&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12/31/49</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,039,035</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,031,662</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/01/12</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/15/38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,111,282</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,101,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/04/12</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/23/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600,023</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>599,906</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp; 11/04/12&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11/15/36</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,283,631</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,283,187</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/04/12</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/29/49</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>649,314</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>649,187</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/04/13</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/07/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,023,499</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,023,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11/04/13&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,460,097</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,458,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/02/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/15/39</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>703,120</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>698,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/02/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/15/30</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,105,643</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,104,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/03/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/17/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,836,377</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,835,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/02/23</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/23/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,185,902</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,182,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/01/26</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/01/35</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,402,432</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,400,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/01/26</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/15/37</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,286,011</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,280,660</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/01/27</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/01/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,481,239</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,476,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11/01/27&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12/15/37</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,811,819</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,808,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/01/27</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/15/38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,923,931</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,920,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/01/27</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/15/38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,799,056</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,795,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/01/27</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/01/39</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,703,900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,699,188</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/01/27</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/30/40</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,846,603</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,842,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.37%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/03/28</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/28/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,477,876</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,476,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.37%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/03/31</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/11/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,806,219</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,805,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$154,572,513&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$154,459,791</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif><BR>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts as of April 30, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="21%"></TD>

   <TD width="24%"></TD>

   <TD width="19%"></TD>

   <TD width="15%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Settlement</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Purchased</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Sold</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR 472,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 686,128</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/27/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11,307</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif><BR>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts purchased as of April 30, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="9%"></TD>

   <TD width="20%"></TD>

   <TD width="20%"></TD>

   <TD width="14%"></TD>

   <TD width="34%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts Issue</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Exchange</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>212</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2-Year U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Note</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$46,232,966&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ 221,534</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="13%"></TD>

   <TD width="51%"></TD>

   <TD width="34%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>26</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_28"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust II, Inc. (PSY)<BR></FONT></STRONG>Schedule of Investments (concluded) <BR></FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts sold as of April 30, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="9%"></TD>

   <TD width="20%"></TD>

   <TD width="20%"></TD>

   <TD width="14%"></TD>

   <TD width="17%"></TD>

   <TD width="17%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts Issue</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Exchange</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>237</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5-Year U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Note</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$27,823,308&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ (253,786)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>328</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10-Year U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Note</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,900,454</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(833,671)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>128</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Long-Term U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Bond</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,318,757</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(345,243)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>97</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ultra U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Bond</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,954,329</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(255,546)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(1,688,246)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif><BR>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on single-name issuer &#8212; sold protection outstanding as of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>April 30, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="13%"></TD>

   <TD width="14%"></TD>

   <TD width="11%"></TD>

   <TD width="15%"></TD>

   <TD width="16%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Receive</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issuer</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counter-</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issuer</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>party</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rating</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MetLife, Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.00%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/20/18</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A&#8211;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD 900</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 23,446</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using S&amp;P&#8217;s rating of the underlying securities.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The maximum potential amount the Fund may pay should a negative event take</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>place as defined under the terms of agreement.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on traded indexes &#8212; sold protection outstanding as of April 30,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="15%"></TD>

   <TD width="11%"></TD>

   <TD width="13%"></TD>

   <TD width="14%"></TD>

   <TD width="11%"></TD>

   <TD width="15%"></TD>

   <TD width="16%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Receive</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counter-</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Index</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>party</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rating</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>3</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iTraxx-Europe</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sub</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Index</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 15</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.00%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6/20/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR 8,100</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11,272</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using S&amp;P&#8217;s rating of the underlying securities.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The maximum potential amount the Fund may pay should a negative event take</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>place as defined under the terms of agreement.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate swaps outstanding as of April 30, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="11%"></TD>

   <TD width="13%"></TD>

   <TD width="24%"></TD>

   <TD width="16%"></TD>

   <TD width="6%"></TD>

   <TD width="9%"></TD>

   <TD width="17%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counter-</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>party</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.98%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a)</FONT></SUP>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/30/13</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>59,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (272,191)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.34%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a)</FONT></SUP>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/41</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(50,922)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.38%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a)</FONT></SUP>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>International</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/41</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(86,978)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.35%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a)</FONT></SUP>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/15/41</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(96,469)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (506,560)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" colSpan=4 align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a)</FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pays a fixed interest rate and receives floating rate.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif><BR>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fair Value Measurements &#8212; Various inputs are used in determining the fair value of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments and derivative financial instruments. These inputs are summarized in</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>three broad levels for financial statement purposes as follows:</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1 &#8212; price quotations in active markets/exchanges for identical assets</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and liabilities</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 2 &#8212; other observable inputs (including, but not limited to: quoted prices for</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>similar assets or liabilities in markets that are active, quoted prices for identical</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or similar assets or liabilities in markets that are not active, inputs other than</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quoted prices that are observable for the assets or liabilities (such as interest</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>default rates) or other market-corroborated inputs)</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 &#8212; unobservable inputs based on the best information available in the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>circumstances, to the extent observable inputs are not available (including the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#8217;s own assumptions used in determining the fair value of investments and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>derivative financial instruments)<BR></FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The inputs or methodologies used for valuing securities are not necessarily an</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>indication of the risk associated with investing in those securities. For information</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>about the Fund&#8217;s policy regarding valuation of investments and derivative financial</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>instruments and other significant accounting policies, please refer to Note 1 of the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Notes to Financial Statements.<BR></FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following tables summarize the inputs used as of April 30, 2011 in determining</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the fair valuation of the Fund&#8217;s investments and derivative financial instruments:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="21%"></TD>

   <TD width="17%"></TD>

   <TD width="21%"></TD>

   <TD width="19%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 9px" colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Long-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset-Back</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,350,616</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,212,750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,563,366</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bonds</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>470,000,749</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>470,000,749</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Preferred</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,481,764</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>130,640,989</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>133,122,753</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Taxable</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Municipal</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bonds</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,582,479</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,582,479</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S Treasury</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Obligations</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,967,986</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,967,986</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Short-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,023,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,023,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$4,505,164</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$612,542,819</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,212,750</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$619,260,733</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="21%"></TD>

   <TD width="23%"></TD>

   <TD width="19%"></TD>

   <TD width="15%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=5 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Derivative Financial Instruments</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B></TD></TR>

<TR>

   <TD colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 221,534</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 221,534</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212; </FONT></TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>34,718</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,718</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Equity</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>292,640</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>292,640</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,307</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,307</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,688,246)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1,054,850)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,743,096)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 10px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212; </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>(108,469)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(108,469)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (1,466,712) </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>(716,185)</FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>(108,469)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (2,291,366)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Derivative financial instruments are swaps, financial futures contracts,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>foreign currency exchange contracts and options. Financial futures contracts,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>foreign currency exchange contracts and swaps are valued at the unrealized</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>appreciation/depreciation on the instrument and options are shown at value.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>

<DIV align=left>

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<TR>

   <TD width="40%"></TD>

   <TD width="46%"></TD>

   <TD width="13%"></TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>27</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

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<!--$$/page=--><A name="page_29"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust III (BPP)</FONT></STRONG><BR>Schedule of Investments </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>April 30, 2011 (Unaudited) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="18%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset-Backed Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Atrium CDO Corp., Series 5A, Class A4,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.83%, 7/20/20 (a)(b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,085,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Asset-Backed Securities &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,085,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#8212; 1.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BE Aerospace, Inc., 8.50%, 7/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,215</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,354,725</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bombardier, Inc., 7.75%, 3/15/20 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,405</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,564,819</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Huntington Ingalls Industries, Inc. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>189,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.13%, 3/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>190</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>199,975</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kratos Defense &amp; Security Solutions, Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 6/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>570</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>625,575</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,934,544</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Airlines Pass-Through Trust, Series 2011-1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A, 5.25%, 7/31/22</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>640</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>620,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Continental Airlines Pass-Through Certificates,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2009-2, Class B, 9.25%, 5/10/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>736</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>776,630</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Air Lines, Inc., Series 02G1, 6.72%, 7/02/24</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>588</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>595,444</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,992,874</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Icahn Enterprises LP:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 1/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>420</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>432,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 1/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,032,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,465,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beverages &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Constellation Brands, Inc., 7.25%, 5/15/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>955</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,040,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Building Materials Corp. of America (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 2/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>187,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 5/01/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>570</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>577,837</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>765,487</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#8212; 2.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ameriprise Financial, Inc., 5.30%, 3/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,621,548</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Goldman Sachs Group, Inc., 6.25%, 2/01/41 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,205,724</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Macquarie Bank Ltd., 6.63%, 4/07/21 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>975</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,009,184</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG, 2.25%, 1/28/14 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>775</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>784,570</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,621,026</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CF Industries, Inc., 7.13%, 5/01/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>525</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>601,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Omnova Solutions, Inc., 7.88%, 11/01/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>355</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>363,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>965,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 7.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amsouth Bank, 4.85%, 4/01/13</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>525</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>534,814</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Associated Banc-Corp., 5.13%, 3/28/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,070</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,090,306</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BNP Paribas, 3.60%, 2/23/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,135,345</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Branch Banking &amp; Trust Co. (b):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.00%, 9/13/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>530,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.00%, 5/23/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>304,663</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., 6.63%, 4/01/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>782</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>839,996</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Agricole SA, 8.38% (a)(b)(c)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>725</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>792,063</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Discover Bank, 8.70%, 11/18/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>676,325</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fifth Third Bamcorp, 3.63%, 1/25/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,369,687</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HSBC Holdings Plc, 5.10%, 4/05/21 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,778,956</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>KeyCorp, 5.10%, 3/24/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>390</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>399,445</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lloyds TSB Bank Plc, 4.88%, 1/21/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>498,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>RESPARCS Funding LP I, 8.00% (d)(e)(f)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,380,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Regions Financial Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.88%, 4/26/13</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,225</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,247,208</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 6/15/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>875,500</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="61%"></TD>

   <TD width="7%"></TD>

   <TD width="12%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Societe Generale, 5.20%, 4/15/21 (a)(c)</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,375</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,386,969</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SunTrust Banks, Inc., 3.60%, 4/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>405,157</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,245,434</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#8212; 3.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aviation Capital Group Corp. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.13%, 10/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,665,319</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 4/06/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,125</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,133,809</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Casella Waste Systems, Inc., 7.75%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>296</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>302,660</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clean Harbors, Inc., 7.63%, 8/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>630</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>674,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corrections Corp. of America, 7.75%, 6/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,752,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mobile Mini, Inc., 7.88%, 12/01/20 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>135</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143,438</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,671,326</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Communications Equipment &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avaya, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.75%, 11/01/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>413,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 4/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>225</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>222,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brocade Communications Systems, Inc., 6.88%, 1/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,576,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CC Holdings GS V LLC, 7.75%, 5/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>440</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,698,825</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inversiones CMPC SA, 4.75%, 1/19/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>394,667</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#8212; 5.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Express Credit Corp., 2.75%, 9/15/15 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,890,827</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital One Bank USA NA, 8.80%, 7/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,625</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,081,121</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Credit Co. LLC, 7.00%, 4/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>329,487</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inmarsat Finance Plc, 7.38%, 12/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,020</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,078,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SLM Corp., 6.25%, 1/25/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,275</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,653,659</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,033,744</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#8212; 1.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ball Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.13%, 9/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>926,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 9/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,070</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,126,175</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crown Americas LLC, 6.25%, 2/01/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>411,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Owens-Brockway Glass Container, Inc., 6.75%, 12/01/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>270</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>275,737</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rock-Tenn Co., 9.25%, 3/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>163,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,902,912</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 4.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ally Financial, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.50%, 2/11/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>404,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.30%, 2/12/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>780</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>877,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 11/01/31</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,060</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,195,150</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank of America Corp., 3.63%, 3/17/16 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,462,444</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citigroup, Inc., 4.59%, 12/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>502,673</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Electric Capital Corp., 5.30%, 2/11/21 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,225</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,308,736</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Moody&#8217;s Corp., 6.06%, 9/07/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,545,088</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Issuer, Inc. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>320</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>330,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>390</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>396,337</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,021,928</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#8212; 5.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AT&amp;T, Inc., 6.30%, 1/15/38 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,109,722</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 Financing, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.75%, 2/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>870</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>280</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>302,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.38%, 4/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>430</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>456,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Corp., 8.38%, 5/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,360</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,615,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Telecom Italia Capital SA, 6.18%, 6/18/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>545,320</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Telefonica Emisiones SAU, 5.46%, 2/16/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>660</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>685,020</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verizon Communications, Inc. (c):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.95%, 3/28/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,775</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,790,258</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.35%, 4/01/39</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,334,809</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Windstream Corp., 7.88%, 11/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>972,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,711,854</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="13%"></TD>

   <TD width="51%"></TD>

   <TD width="34%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>28</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_30"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust III (BPP)</FONT></STRONG><BR>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="61%"></TD>

   <TD width="7%"></TD>

   <TD width="12%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Progress Energy, Inc., 7.00%, 10/30/31</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,333,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&amp; Components &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Jabil Circuit, Inc., 8.25%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>459,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NXP BV, 3.05%, 10/15/13 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,450</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,442,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,901,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ensco Plc, 4.70%, 3/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>960</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>969,238</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Frac Tech Services LLC, 7.13%, 11/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>185</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>197,025</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Key Energy Service, Inc., 6.75%, 3/01/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>360</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>369,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MEG Energy Corp., 6.50%, 3/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>465</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>477,206</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,013,369</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#8212; 2.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CVS Caremark Corp., 6.30%, 6/01/62 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,633,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wal-Mart Stores, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 9/01/35</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,850</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,835,381</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.20%, 4/15/38 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,075</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,188,157</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,657,038</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Blue Merger Sub, Inc., 7.63%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>210</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>214,987</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kraft Foods, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 8/11/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>927,926</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.13%, 8/23/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>907,174</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smithfield Foods, Inc., 10.00%, 7/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>187</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>221,595</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,271,682</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Gas Utilities &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Targa Resources Partners LP, 6.88%, 2/01/21 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>238,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Boston Scientific Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.50%, 1/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>106</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>111,180</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.40%, 6/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>92</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>103,065</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.13%, 1/12/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>394,515</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.38%, 1/15/40</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,425</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,648,042</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,146,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,403,052</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 3.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aetna, Inc., 6.75%, 12/15/37</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,725</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,963,925</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aviv Healthcare Properties LP, 7.75%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>220</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>232,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.50%, 4/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>266,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 9/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,645</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,768,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tenet Healthcare Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>745</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>864,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.88%, 7/01/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>550</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>621,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UnitedHealth Group, Inc., 6.88%, 2/15/38</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,725</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,983,134</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,699,634</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cemex Espana Luxembourg, 9.25%, 5/12/20 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>723</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>739,268</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.38%, 6/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>355</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>361,656</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 1/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>90</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>89,550</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.63%, 1/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>580</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>635,825</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,087,031</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AES Corp., 9.75%, 4/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>480</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>555,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Intermediate Holding Co. LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 12/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>720</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>774,058</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NRG Energy, Inc., 8.25%, 9/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>252,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,582,258</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="68%"></TD>

   <TD width="12%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#8212; 3.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American International Group, Inc., 6.40%, 12/15/20 $</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>810</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 886,155</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dai-ichi Life Insurance Co., Ltd., 7.25% (a)(b)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>337</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>338,486</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Forethough Financial Group, 8.63%, 4/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>525</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>528,976</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Genworth Financial, Inc., 7.63%, 9/24/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>480</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>492,993</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lincoln National Corp., 6.25%, 2/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,725</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,937,309</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Northwestern Mutual Life Insurance,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.06%, 3/30/40 (a)(c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,935,072</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Principal Financial Group, Inc., 8.88%, 5/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>608,206</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Prudential Financial, Inc., 6.63%, 12/01/37</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,725</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,924,134</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,651,331</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Life Sciences Tools &amp; Services &#8212; 1.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bio-Rad Laboratories, Inc., 8.00%, 9/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,830</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,035,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Life Technologies Corp., 6.00%, 3/01/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,190,438</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,226,313</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#8212; 1.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AGY Holding Corp., 11.00%, 11/15/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>390</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>379,275</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ingersoll-Rand Global Holding Co., Ltd., 9.50%, 4/15/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,725</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,077,112</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navistar International Corp., 8.25%, 11/01/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>529,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,986,012</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 8.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CMP Susquehanna Corp., 3.44%, 5/15/14 (a)(f)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,787</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CSC Holdings LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.50%, 6/15/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>873,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.63%, 2/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>580</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>668,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Comcast Corp., 6.30%, 11/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,725</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,983,602</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cox Communications, Inc., 8.38%, 3/01/39 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,725</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,278,658</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DISH DBS Corp., 7.00%, 10/01/13</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>918,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DirectTV Holdings LLC, 5.00%, 3/01/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,282,424</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gannett Co., Inc., 9.38%, 11/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,012,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Bermuda Ltd. (g):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.50%, 2/04/17 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>130</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>142,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.50%, 2/04/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>219,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kabel BW Erste Beteiligungs GmbH, 7.50%, 3/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>512,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The New York Times Co., 6.63%, 12/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,725</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,746,562</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>News America, Inc., 6.15%, 3/01/37</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,043,810</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Time Warner Cable, Inc., 6.75%, 6/15/39</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,119,523</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Time Warner, Inc., 7.70%, 5/01/32</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,411,238</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Germany GmbH, 8.13%, 12/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>505</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>534,037</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Secured Finance Plc, 6.50%, 1/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,423,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,175,941</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 2.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alcoa, Inc., 5.40%, 4/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,190</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,208,288</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Freeport-McMoRan Corp., 7.13%, 11/01/27</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,489,338</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JMC Steel Group, 8.25%, 3/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>157,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Novelis, Inc., 8.75%, 12/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>558,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Teck Resources Ltd., 10.75%, 5/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,086,980</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>United States Steel Corp., 7.38%, 4/01/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>95</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100,225</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,600,706</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CenterPoint Energy, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.95%, 2/01/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,650,644</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,600</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,810,923</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,461,567</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#8212; 1.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp., 10.63%, 7/15/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,550</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,658,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JC Penney Co., Inc., 5.65%, 6/01/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,396,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,055,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 7.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Anadarko Petroleum Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.95%, 9/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>497</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>555,144</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.38%, 9/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,554</FONT>&nbsp;</TD></TR></TABLE></DIV>

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   <TD width="51%"></TD>

   <TD width="37%"></TD>

   <TD width="11%"></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 29px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>29</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<!--$$/page=--><A name="page_31"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust III (BPP)</FONT></STRONG><BR>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

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<TR>

   <TD width="61%"></TD>

   <TD width="6%"></TD>

   <TD width="12%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BP Capital Markets Plc:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.88%, 3/10/15</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 734,191</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.20%, 3/11/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>925</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>932,512</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Buckeye Partners LP, 4.88%, 2/01/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>475</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>483,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chesapeake Energy Corp., 6.13%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,690</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,744,925</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Consol Energy, Inc., 6.38%, 3/01/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>410</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>412,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Copano Energy LLC, 7.13%, 4/01/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>270</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>276,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Denbury Resources, Inc., 6.38%, 8/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>280</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>288,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Enbridge Energy Partners LP, 9.88%, 3/01/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,321,007</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>511,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Enterprise Products Operating LLC, 6.65%, 4/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,321,602</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Forest Oil Corp., 7.25%, 6/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>215</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>223,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kinder Morgan Energy Partners LP, 6.85%, 2/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,329,742</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Linn Energy LLC, 7.75%, 2/01/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>510</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>546,337</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marathon Petroleum Corp., 3.50%, 3/01/16 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>658,614</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ONEOK Partners LP, 8.63%, 3/01/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,725</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,196,731</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Oasis Petroleum, Inc., 7.25%, 2/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>185</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>186,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Petrobras International Finance Co., 3.88%, 1/27/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>709,645</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Range Resources Corp., 6.75%, 8/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>415</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>444,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SM Energy Co., 6.63%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>235</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>242,637</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SandRidge Energy, Inc., 7.50%, 3/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>350</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>368,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,501,216</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#8212; 3.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Georgia-Pacific LLC, 8.25%, 5/01/16 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,635</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,855,725</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>International Paper Co.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 8/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,625</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,939,613</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.70%, 6/15/38</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,170,386</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.30%, 11/15/39</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,725</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,969,747</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,935,471</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#8212; 5.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bristol-Myers Squibb Co., 5.88%, 11/15/36 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>883</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>972,012</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GlaxoSmithKline Capital, Inc., 6.38%, 5/15/38</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,460</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,958,287</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Merck &amp; Co., Inc. (c):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 12/01/33</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>990</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,179,154</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.55%, 9/15/37</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,979</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,353,779</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pfizer, Inc., 7.20%, 3/15/39</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,157,113</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,620,345</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Professional Services &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FTI Consulting, Inc., 7.75%, 10/01/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>105,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Investment Trusts (REITs) &#8212; 1.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AvalonBay Communities, Inc., 6.10%, 3/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,725</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,948,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ERP Operating LP, 5.75%, 6/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,715</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,921,043</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCP, Inc., 5.38%, 2/01/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>519,728</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,389,221</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Road &amp; Rail &#8212; 1.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asciano Finance Ltd., 5.00%, 4/07/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>432,422</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avis Budget Car Rental LLC, 8.25%, 1/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>314</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>333,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Florida East Coast Railway Corp., 8.13%, 2/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>80</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>84,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Hertz Corp., 6.75%, 4/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>518</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>528,360</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Norfolk Southern Corp., 6.00%, 3/15/2105 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,458,940</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,838,147</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advanced Micro Devices, Inc., 7.75%, 8/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>417,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>KLA-Tencor Corp., 6.90%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>918</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,038,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,455,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AutoNation, Inc., 6.75%, 4/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>940</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>984,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Best Buy Co., Inc., 5.50%, 3/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>653,878</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Limited Brands, Inc., 7.00%, 5/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>470</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>498,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,136,728</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="18%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Tobacco &#8212; 1.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Altria Group, Inc., 10.20%, 2/06/39</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,150</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,147,387</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#8212; 2.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Tower Corp., 4.50%, 1/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>925</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>914,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cricket Communications, Inc., 7.75%, 5/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>346,937</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crown Castle Towers LLC (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 1/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>575</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>613,243</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.11%, 1/15/40</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>625</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>676,422</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Jackson Holdings SA (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 4/01/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>152,531</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 4/01/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>304,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nextel Communications, Inc., Series E,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>395</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>398,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SBA Tower Trust, 5.10%, 4/15/42 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,562,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,969,133</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Corporate Bonds &#8212; 93.4%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>215,648,365</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Preferred Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Trusts</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#8212; 4.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State Street Capital Trust III, 8.25% (b)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,385</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,386,565</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State Street Capital Trust IV, 1.31%, 6/01/67 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,675</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,101,197</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,487,762</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 7.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ABN AMRO North America Holding Preferred Capital</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Repackaging Trust I, 6.52% (a)(b)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,567,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BNP Paribas, 7.20% (a)(b)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>693,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays Bank Plc (a)(b)(d):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.93%, 9/29/49</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,623,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.43%, 12/15/49</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>337,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CBA Capital Trust I, 5.81% (a)(c)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,052,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Agricole SA, 6.64% (a)(b)(c)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>725</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>668,668</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dresdner Funding Trust I, 8.15%, 6/30/31 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,095</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,073,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FCB/NC Capital Trust I, 8.05%, 3/01/28</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,101,109</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NBP Capital Trust III, 7.38% (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,850,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>National City Preferred Capital Trust I, 12.00% (b)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>672,522</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USB Capital XIII Trust, 6.63%, 12/15/39</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,725</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,841,834</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Westpac Capital Trust IV, 5.26% (a)(b)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,917,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,398,583</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 5.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ING Capital Funding Trust III, 8.44% (b)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>820,264</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JPMorgan Chase Capital XXI, Series U,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.24%, 1/15/87 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,125</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,107,913</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JPMorgan Chase Capital XXIII, 1.31%, 5/15/77 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,190</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,204,199</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,132,376</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PPL Capital Funding, 6.70%, 3/30/67 (b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>894,374</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#8212; 3.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AXA SA, 6.38% (a)(b)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>829,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Allstate Corp., 6.50%, 5/15/67 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>929,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American General Capital II, 8.50%, 7/01/30</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>113,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chubb Corp., 6.38%, 3/29/67 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>963,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,224,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lincoln National Corp., 7.00%, 5/17/66 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>930,420</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MetLife, Inc., 6.40%, 12/15/66</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900,032</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reinsurance Group of America, 6.75%, 12/15/65 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,280,977</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swiss Re Capital I LP, 6.85% (a)(b)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>993,766</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ZFS Finance (USA) Trust IV, 5.88%, 5/09/32 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>190</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>189,419</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,352,989</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="13%"></TD>

   <TD width="51%"></TD>

   <TD width="34%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>30</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust III (BPP)</FONT></STRONG><BR>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="61%"></TD>

   <TD width="19%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Trusts</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 900</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 916,720</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Capital Trusts &#8212; 20.9%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>48,182,805</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Preferred Stocks</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SG Preferred Capital II, 6.30%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>968,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#8212; 2.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Prudential Plc, 6.50% (d)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,000,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,640,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CMP Susquehanna Radio Holdings Corp.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.30% (a)(b)(d)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,052</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Preferred Stocks &#8212; 2.8%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,608,771</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trust Preferreds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,061</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,101,483</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Trust Preferreds &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,101,483</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Preferred Securities &#8212; 24.2%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55,893,058</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Taxable Municipal Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Metropolitan Transportation Authority, RB,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Build America Bonds, 6.55%, 11/15/31</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,675</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,756,121</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State of California, GO, Build America Bonds,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.35%, 11/01/39</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>425</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>471,601</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Taxable Municipal Bonds &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,227,722</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>U.S. Treasury Obligations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Treasury Notes (c):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.63%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,090</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,119,635</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.75%, 2/15/41</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,267,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total U.S. Treasury Obligations &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,387,510</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Warrants (h)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CMP Susquehanna Radio Holdings Corp.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Expires 3/26/19) (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,345</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Warrants &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Long-Term Investments</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $268,777,557) &#8212; 120.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>277,242,155</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="17%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Short-Term Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class, 0.10% (i)(j)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,547,481</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,547,481</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Short-Term Securities</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $1,547,481) &#8212;0.7%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,547,481</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Options Purchased</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Dual Binary Options &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Receive 1.00% of notional amount at expiration date</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>if 30 year swap is below or at 4.30% and 5 year</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>swap is above or at 2.38% based on ISDAFIX,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expires 6/23/11, Broker Goldman Sachs Bank USA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,700,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29,692</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Put Options &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>S&amp;P 500 Index, Strike Price USD 1,250.00,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expires 9/17/11, Broker Credit Suisse International</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>58</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143,840</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Put Swaptions &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pay a fixed rate of 2.85% and receive a floating rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on 3-month LIBOR, Expires 6/24/11,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker Citibank NA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,564</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Options Purchased</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $339,793) &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>176,096</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments Before Options Written</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $270,664,831) &#8212; 120.8%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>278,965,732</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Options Written</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Call Swaptions &#8212; (0.2)%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pay a fixed rate of 4.03% and receive a floating rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on 3-month LIBOR, Expires 4/16/12,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker UBS AG</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(159,970)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pay a fixed rate of 4.75% and receive a floating rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on 3-month LIBOR, Expires 3/24/14,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker Citibank NA</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(314,738)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(474,708)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Put Swaptions &#8212; (0.2)%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Receive a fixed rate of 4.03% and pay a floating rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on 3-month LIBOR, Expires 4/16/12,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker UBS AG</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(103,493)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Receive a fixed rate of 4.75% and pay a floating rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on 3-month LIBOR, Expires 3/24/14,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker Citibank NA</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(261,611)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sold credit default protection on Dow Jones CDX</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>North America Investment Grade Series 16,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Strike Price $120.00, Expires 9/21/11,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker Credit Suisse International</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>72,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(52,769)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(417,873)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Options Written</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Premiums Received &#8212; $1,110,600) &#8212; (0.4)%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(892,581)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments, Net of Options Written</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $271,775,431*) &#8212; 120.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>278,073,151</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities in Excess of Other Assets &#8212; (20.4)%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(47,165,129)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets &#8212; 100.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 230,908,022</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="51%"></TD>

   <TD width="37%"></TD>

   <TD width="11%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 29px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>31</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

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<!--$$/page=--><A name="page_33"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust III (BPP)<BR></FONT></STRONG>Schedule of Investments (continued) <BR></FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* The cost and unrealized appreciation (depreciation) of investments as of April 30,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011, as computed for federal income tax purposes, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="57%"></TD>

   <TD width="42%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 270,204,198</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;12,291,763</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,530,229)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized appreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;&nbsp; 8,761,534</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These securities may be resold in transactions exempt from registration to qualified</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Variable rate security. Rate shown is as of report date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) All or a portion of security has been pledged as collateral in connection with open</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reverse repurchase agreements.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(d) Security is perpetual in nature and has no stated maturity date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Issuer filed for bankruptcy and/or is in default of interest payments.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Non-income producing security.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) Represents a payment-in-kind security which may pay interest/dividends in</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>additional par/shares.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(h) Warrants entitle the Fund to purchase a predetermined number of shares of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>common stock and are non-income producing. The purchase price and number</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of shares are subject to adjustment under certain conditions until the expiration</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>date, if any.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(i) Investments in companies considered to be an affiliate of the Fund during the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amended, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="27%"></TD>

   <TD width="21%"></TD>

   <TD width="17%"></TD>

   <TD width="20%"></TD>

   <TD width="13%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>October 31,</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>April 30,</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Affiliate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Activity</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds, TempFund,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,466,527</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(32,919,046)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,547,481</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,230</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>(j) Represents the current yield as of report date.</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For Fund compliance purposes, the Fund&#8217;s industry classifications refer to any one</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or more of the industry sub-classifications used by one or more widely recognized</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or rating group indexes, and/or as defined by Fund management.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These definitions may not apply for purposes of this report, which may combine</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>such industry sub-classifications for reporting ease.</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reverse repurchase agreements outstanding as of April 30, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="23%"></TD>

   <TD width="11%"></TD>

   <TD width="14%"></TD>

   <TD width="13%"></TD>

   <TD width="18%"></TD>

   <TD width="17%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trade</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Maturity</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Closing</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Face</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/09/10</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/15/38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,790,213</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,784,159</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/09/10</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/06/39</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,858,422</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,853,856</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/30/10</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,503,646</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,501,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/10/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,787,486</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,785,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/27/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/01/35</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,777,800</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,776,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/27/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/15/38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,954,458</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,952,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/27/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/01/39</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,274,028</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,271,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/01/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/05/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,181,179</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,179,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reverse repurchase agreements outstanding as of April 30, 2011 were as follows</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(concluded):</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="23%"></TD>

   <TD width="12%"></TD>

   <TD width="13%"></TD>

   <TD width="14%"></TD>

   <TD width="18%"></TD>

   <TD width="17%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trade</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Maturity</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Closing</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Face</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/07/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/30/40</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,814,292</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,812,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/10/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/15/39</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,983,799</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,981,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/11/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/11/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,602,064</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,601,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/11/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/01/33</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,094,874</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,093,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/11/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/15/37</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,198,545</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,196,690</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/23/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/23/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,006,940</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,005,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/04/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/01/41</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,036,242</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,034,975</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/10/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/01/37</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,777,744</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,776,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/30/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9/15/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,741,505</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,740,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.37%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/31/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/11/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>535,364</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>534,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/07/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/05/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,599,382</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,598,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/11/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/28/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>742,151</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>742,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/12/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11/15/36</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>910,771</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>910,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/12/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/31/49</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,982,885</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,982,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS Securities LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.37%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/13/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/28/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,689,242</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,688,912</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10/29/49</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>742,349</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>742,219</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/31/49</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>648,082</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>647,969</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/18/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,323,633</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,323,438</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/18/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/15/38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,102,038</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,101,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/21/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/17/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,364,503</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,364,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.04%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/29/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5/02/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,394,433</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,394,424</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$53,418,070</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$53,379,280</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif><BR>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts purchased as of April 30, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="9%"></TD>

   <TD width="21%"></TD>

   <TD width="20%"></TD>

   <TD width="14%"></TD>

   <TD width="17%"></TD>

   <TD width="16%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Issue</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Exchange</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>102</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2-Year U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Note</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$22,244,163</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 106,587</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Long-Term U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Bond</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,311,350</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,775</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 141,362</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="13%"></TD>

   <TD width="51%"></TD>

   <TD width="34%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>32</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_34"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust III (BPP)<BR></FONT></STRONG>Schedule of Investments (concluded) <BR></FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts sold as of April 30, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="9%"></TD>

   <TD width="20%"></TD>

   <TD width="20%"></TD>

   <TD width="14%"></TD>

   <TD width="17%"></TD>

   <TD width="17%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts Issue</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Exchange</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>115</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5-Year U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Note</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$13,500,761&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$ (123,145)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10-Year U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Note</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp; $2,970,311</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(58,204)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ultra U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Bond</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp; $5,674,213</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(116,037)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (297,386)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif><BR>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on single-name issuer &#8212; buy protection outstanding as of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>April 30, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="16%"></TD>

   <TD width="11%"></TD>

   <TD width="25%"></TD>

   <TD width="17%"></TD>

   <TD width="11%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pay</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp; Expiration&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Amount&nbsp;&nbsp;</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issuer</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The New York</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Times Co.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.00%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays Bank Plc</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/20/16 </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>1,725</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (1,969)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif><BR>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on single-name issuer &#8212; sold protection outstanding as of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>April 30, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="13%"></TD>

   <TD width="14%"></TD>

   <TD width="12%"></TD>

   <TD width="14%"></TD>

   <TD width="17%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Receive</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issuer</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counter-</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issuer</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>party</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rating</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MetLife, Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.00%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/20/18</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A&#8211;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 425</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11,072</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using S&amp;P&#8217;s rating of the underlying securities.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The maximum potential amount the Fund may pay should a negative event take</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>place as defined under the terms of agreement.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate swaps outstanding as of April 30, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="11%"></TD>

   <TD width="13%"></TD>

   <TD width="24%"></TD>

   <TD width="15%"></TD>

   <TD width="7%"></TD>

   <TD width="10%"></TD>

   <TD width="17%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counter-</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>party</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Depreciation)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.98%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a)</FONT></SUP>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/30/13</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (132,416)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.32%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b)</FONT></SUP>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/28/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,120</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.34%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a)</FONT></SUP>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/41</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(23,964)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.38%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a)</FONT></SUP>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>International</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/41</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(43,489)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.35%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a)</FONT></SUP>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/15/41</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(48,235)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (228,984)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a)</FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pays a fixed interest rate and receives floating rate.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b)</FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pays floating interest rate and receives fixed rate.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fair Value Measurements &#8212; Various inputs are used in determining the fair value of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments and derivative financial instruments. These inputs are summarized in</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>three broad levels for financial statement purposes as follows:</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1 &#8212; price quotations in active markets/exchanges for identical assets</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and liabilities</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 2 &#8212; other observable inputs (including, but not limited to: quoted prices</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for similar assets or liabilities in markets that are active, quoted prices for iden-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tical or similar assets or liabilities in markets that are not active, inputs other</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>than quoted prices that are observable for the assets or liabilities (such as</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risks and default rates) or other market-corroborated inputs)</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 &#8212; unobservable inputs based on the best information available in the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>circumstances, to the extent observable inputs are not available (including the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#8217;s own assumptions used in determining the fair value of investments and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>derivative financial instruments)<BR></FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The inputs or methodologies used for valuing securities are not necessarily an</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>indication of the risk associated with investing in those securities. For information</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>about the Fund&#8217;s policy regarding valuation of investments and derivative financial</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>instruments and other significant accounting policies, please refer to Note 1 of the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Notes to Financial Statements.<BR></FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following tables summarize the inputs used as of April 30, 2011 in determining</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the fair valuation of the Fund&#8217;s investments and derivative financial instruments:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="21%"></TD>

   <TD width="17%"></TD>

   <TD width="21%"></TD>

   <TD width="19%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 9px" colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Long-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset-Back</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,085,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,085,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bonds</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$215,641,578</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,787</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>215,648,365</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Preferred</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,101,483</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>54,791,554</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55,893,058</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Taxable</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Municipal</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bonds</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,227,722</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,227,722</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S Treasury</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Obligations</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,387,510</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,387,510</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Short-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,547,481</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,547,481</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,648,964</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$275,048,364</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,092,308</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$278,789,636</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="21%"></TD>

   <TD width="18%"></TD>

   <TD width="25%"></TD>

   <TD width="15%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=5 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Derivative Financial Instruments</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B></TD></TR>

<TR>

   <TD colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 141,362</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 21,684</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;$29,692</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 192,738</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,072</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,072</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Equity</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143,840</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>143,840</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(297,386)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,087,916)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,385,302)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,969)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(52,769)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(54,738)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (156,024)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (913,289)</FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>(23,077)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (1,092,390)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Derivative financial instruments are swaps, financial futures contracts, and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>options. Financial futures contracts and swaps are valued at the unrealized</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>appreciation/depreciation on the instrument and options are shown at value.</FONT></P>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="51%"></TD>

   <TD width="37%"></TD>

   <TD width="11%"></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 29px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>33</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></STRONG><BR>Schedule of Investments </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>April 30, 2011 (Unaudited) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="19%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset-Backed Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Atrium CDO Corp., Series 5A, Class A4,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.83%, 7/20/20 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,674,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SLM Student Loan Trust, Series 2004-B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A2, 0.51%, 6/15/21 (b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,438</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,328,856</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Asset-Backed Securities &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,002,856</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#8212; 1.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BE Aerospace, Inc., 8.50%, 7/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,575</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,986,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bombardier, Inc., 7.75%, 3/15/20 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,011,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Huntington Ingalls Industries, Inc. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>580</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>610,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.13%, 3/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>631,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kratos Defense &amp; Security Solutions Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 6/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,052</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,252,070</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,492,020</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Airlines Pass-Through Trust, Series 2011-1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A, 5.25%, 7/31/22</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,425</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,352,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Continental Airlines Pass-Through Certificates,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series 2009-2, Class B, 9.25%, 5/10/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,113</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,229,680</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Air Lines, Inc., Series 02G1, 6.72%, 7/02/24</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,205</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,232,916</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,814,846</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Icahn Enterprises LP:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 1/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,751,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 1/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,581,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,332,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beverages &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Constellation Brands, Inc., 7.25%, 5/15/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,230</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,520,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Building Materials Corp. of America (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 2/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>790</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>823,575</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 5/01/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,930</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,956,538</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nortek, Inc., 10.00%, 12/01/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,177,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,957,113</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#8212; 3.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ameriprise Financial, Inc., 5.30%, 3/15/20 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,864,644</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Goldman Sachs Group, Inc. (c):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 2/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,850</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,134,266</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 2/01/41</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,540,497</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Macquarie Bank Ltd., 6.63%, 4/07/21 (a)(c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,088,487</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG (c):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.25%, 1/28/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,678</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,711,071</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.88%, 7/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,575</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,731,509</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29,070,474</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CF Industries, Inc., 7.13%, 5/01/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,850</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,118,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Omnova Solutions, Inc., 7.88%, 11/01/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,220</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,250,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,368,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 6.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amsouth Bank, 4.85%, 4/01/13</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,833,649</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Associated Banc-Corp., 5.13%, 3/28/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,645</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,714,175</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BNP Paribas, 3.60%, 2/23/16 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,372,025</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Branch Banking &amp; Trust Co. (b)(c):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.00%, 9/13/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,850</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,784,071</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.00%, 5/23/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,031,165</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., 6.63%, 4/01/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,673</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,871,240</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Agricole SA, 8.38%, 10/29/49 (a)(b)(c)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,676,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Discover Bank, 8.70%, 11/18/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,397,880</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="61%"></TD>

   <TD width="6%"></TD>

   <TD width="13%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fifth Third Bamcorp, 3.63%, 1/25/16</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,667,082</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HSBC Holdings Plc, 5.10%, 4/05/21 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,602,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>KeyCorp, 5.10%, 3/24/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,331,482</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lloyds TSB Bank Plc, 4.88%, 1/21/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,525</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,600,770</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Regions Financial Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.88%, 4/26/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,225,235</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 6/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,090,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Societe Generale, 5.20%, 4/15/21 (a)(c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,825</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,867,002</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SunTrust Banks, Inc., 3.60%, 4/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,316,760</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>48,381,511</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#8212; 3.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aviation Capital Group Corp. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.13%, 10/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,551,064</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 4/06/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,850</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,880,145</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Casella Waste Systems, Inc., 7.75%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,031</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,054,198</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clean Harbors, Inc., 7.63%, 8/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,407,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corrections Corp. of America, 7.75%, 6/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,835</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,294,325</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mobile Mini, Inc., 7.88%, 12/01/20 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>455</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>483,438</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,670,670</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Communications Equipment &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avaya, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.75%, 11/01/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,445,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 4/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>841,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brocade Communications Systems, Inc., 6.88%, 1/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,580</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,893,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CC Holdings GS V LLC, 7.75%, 5/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,725</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,906,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,086,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction Materials &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inversiones CMPC SA, 4.75%, 1/19/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,375</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,356,669</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#8212; 4.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Express Credit Corp., 2.75%, 9/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,850</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,818,844</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital One Bank USA NA, 8.80%, 7/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,058,726</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ford Motor Credit Co. LLC, 7.00%, 4/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>820</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900,596</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Inmarsat Finance Plc, 7.38%, 12/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,975</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,146,063</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SLM Corp., 6.25%, 1/25/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,175</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,151,064</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,075,293</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#8212; 1.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ball Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.13%, 9/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,180,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 9/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,575</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,762,687</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crown Americas LLC, 6.25%, 2/01/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,387,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Owens-Brockway Glass Container, Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 12/01/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,110</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,133,588</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rock-Tenn Co., 9.25%, 3/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>872,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,335,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 5.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ally Financial, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.50%, 2/11/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,515,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.30%, 2/12/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,890</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,251,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.00%, 11/01/31</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,495,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank of America Corp., 3.63%, 3/17/16 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,625</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,668,807</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citigroup, Inc., 4.59%, 12/15/15 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,575</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,666,756</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Electric Capital Corp., 5.30%, 2/11/21 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,775</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,067,604</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Moody&#8217;s Corp., 6.06%, 9/07/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,300,590</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Issuer, Inc. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,095</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,129,219</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,345</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,366,856</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Stan IV Ltd., 2.48%, 7/20/11 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>283</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>280,170</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,741,502</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#8212; 4.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AT&amp;T, Inc., 6.30%, 1/15/38</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,274,305</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 Financing, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.75%, 2/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,910</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,011,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>930</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,004,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.38%, 4/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,593,750</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="13%"></TD>

   <TD width="51%"></TD>

   <TD width="34%"></TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>34</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<HR align=center SIZE=2 width="100%" noShade>



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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></STRONG><BR>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="18%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Qwest Corp., 8.38%, 5/01/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,285</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,900,937</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Telecom Italia Capital SA, 6.18%, 6/18/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,799,556</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Telefonica Emisiones SAU, 5.46%, 2/16/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,335,295</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verizon Communications, Inc. (c):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.95%, 3/28/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,525</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,598,281</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.35%, 4/01/39</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,627,489</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Windstream Corp., 7.88%, 11/01/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,916,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,061,863</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Progress Energy, Inc., 7.00%, 10/30/31</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,833,985</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&amp; Components &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Jabil Circuit, Inc., 8.25%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,295,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NXP BV, 3.05%, 10/15/13 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,900</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,875,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,170,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#8212; 1.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ensco Plc, 4.70%, 3/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,255</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,286,323</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Frac Tech Services LLC, 7.13%, 11/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>615</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>654,975</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hornbeck Offshore Services, Inc., Series B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.13%, 12/01/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,695</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,721,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Key Energy Service, Inc., 6.75%, 3/01/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,240</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,274,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MEG Energy Corp., 6.50%, 3/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,580</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,621,475</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,558,823</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CVS Caremark Corp., 6.30%, 6/01/62 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,871,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wal-Mart Stores, Inc. (c):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 9/01/35</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,629,060</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.20%, 4/15/38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,225</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,774,994</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,275,054</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#8212; 0.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Blue Merger Sub, Inc., 7.63%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>710</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>726,863</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kraft Foods, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 8/11/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,985</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,302,417</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.13%, 8/23/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,990</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,256,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smithfield Foods, Inc., 10.00%, 7/15/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>668</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>791,580</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,077,454</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Gas Utilities &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Targa Resources Partners LP, 6.88%, 2/01/21 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>820</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>815,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#8212; 1.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Boston Scientific Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.50%, 1/15/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>380</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>398,569</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.40%, 6/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>327</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>366,328</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.13%, 1/12/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,341</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,410,787</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.38%, 1/15/40</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,724,779</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,250</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,871,563</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,772,026</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 2.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aetna, Inc., 6.75%, 12/15/37 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,075</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,639,416</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aviv Healthcare Properties LP, 7.75%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>765</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>807,075</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.50%, 4/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>666,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 9/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,590</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,934,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tenet Healthcare Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,175</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,523,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.88%, 7/01/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,825</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,062,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UnitedHealth Group, Inc., 6.88%, 2/15/38 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,075</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,684,795</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,316,786</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cemex Espana Luxembourg, 9.25%, 5/12/20 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,947</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,058,307</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="60%"></TD>

   <TD width="8%"></TD>

   <TD width="12%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.38%, 6/15/19</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,205</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,227,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.25%, 1/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>310</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>308,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.63%, 1/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,960</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,148,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,684,694</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AES Corp., 9.75%, 4/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,620</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,875,150</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Intermediate Holding Co. LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 12/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,460</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,644,697</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NRG Energy, Inc., 8.25%, 9/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>815</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>857,787</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,377,634</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#8212; 3.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American International Group, Inc., 6.40%, 12/15/20 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,063,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dai-ichi Life Insurance Co., Ltd., 7.25% (a)(b)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,116</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,120,921</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Forethough Financial Group, 8.63%, 4/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,625</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,637,308</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Genworth Financial, Inc., 7.63%, 9/24/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,615</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,658,715</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lincoln National Corp., 6.25%, 2/15/20 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,075</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,576,543</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Northwestern Mutual Life Insurance,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.06%, 3/30/40 (a)(c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,912,720</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Principal Financial Group, Inc., 8.88%, 5/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,145</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,466,097</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Prudential Financial, Inc., 6.63%, 12/01/37 (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,075</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,545,418</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,980,972</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Life Sciences Tools &amp; Services &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bio-Rad Laboratories, Inc., 8.00%, 9/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,480</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,096,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Life Technologies Corp., 6.00%, 3/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,257,051</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,353,551</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ingersoll-Rand Global Holding Co., Ltd., 9.50%, 4/15/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,075</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,906,801</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navistar International Corp., 8.25%, 11/01/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,515</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,689,225</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,596,026</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 6.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CSC Holdings LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.50%, 6/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,509,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.63%, 2/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,247,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc., 10.50%, 1/15/15 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,575</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,645,812</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Comcast Corp., 6.30%, 11/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,075</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,685,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cox Communications, Inc., 8.38%, 3/01/39 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,075</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,382,916</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DISH DBS Corp., 7.00%, 10/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,106,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DirectTV Holdings LLC, 5.00%, 3/01/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,257,647</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gannett Co., Inc., 9.38%, 11/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,487,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Bermuda Ltd. (e):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.50%, 2/04/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>690</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>755,550</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.50%, 2/04/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>460</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>503,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kabel BW Erste Beteiligungs GmbH, 7.50%, 3/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,760</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,804,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>News America, Inc., 6.15%, 3/01/37</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,850</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,956,239</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Time Warner Cable, Inc., 6.75%, 6/15/39</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,675</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,081,421</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Time Warner, Inc., 7.70%, 5/01/32</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,907,533</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Germany GmbH, 8.13%, 12/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,225</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,295,438</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Secured Finance Plc, 6.50%, 1/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,175</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,476,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51,103,531</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 1.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alcoa, Inc., 5.40%, 4/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,090</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,152,855</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Freeport-McMoRan Corp., 7.13%, 11/01/27</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,723,346</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JMC Steel Group, 8.25%, 3/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>530</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>555,175</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Novelis, Inc., 8.75%, 12/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,710</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,910,925</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Teck Resources Ltd., 10.75%, 5/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,557,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>United States Steel Corp., 7.38%, 4/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>290</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>305,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,205,851</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#8212; 2.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar General Corp., 10.63%, 7/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,225</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,520,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JC Penney Co., Inc., 5.65%, 6/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,369,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,889,750</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="40%"></TD>

   <TD width="46%"></TD>

   <TD width="13%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>35</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_37"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></STRONG><BR>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="18%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#8212; 2.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CenterPoint Energy, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.95%, 2/01/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,961,544</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,470,717</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dominion Resources, Inc., 8.88%, 1/15/19 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,286,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,719,061</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 6.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Anadarko Petroluem Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.95%, 9/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,686</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,883,243</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.38%, 9/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>52</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>58,732</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BP Capital Markets Plc (c):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 11/07/13</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,276,629</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.88%, 3/10/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,085</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,235,687</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Buckeye Partners LP, 4.88%, 2/01/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,678,659</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chesapeake Energy Corp., 6.13%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,745</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,931,712</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Consol Energy, Inc., 6.38%, 3/01/21 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,385</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,391,925</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Copano Energy LLC, 7.13%, 4/01/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>930</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>953,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Denbury Resources, Inc., 6.38%, 8/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>955</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>983,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Enbridge Energy Partners LP, 9.88%, 3/01/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,425</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,203,442</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,738,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Enterprise Products Operating LLC, 6.65%, 4/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,571,845</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Forest Oil Corp., 7.25%, 6/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>735</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>764,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kinder Morgan Energy Partners LP, 6.85%, 2/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,591,381</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Linn Energy LLC, 7.75%, 2/01/21 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,740</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,863,975</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marathon Petroleum Corp., 3.50%, 3/01/16 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,279,819</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ONEOK Partners LP, 8.63%, 3/01/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,075</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,189,378</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Oasis Petroleum, Inc., 7.25%, 2/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>625</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>631,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Petrobras International Finance Co., 3.88%, 1/27/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,425</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,458,412</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Range Resources Corp., 6.75%, 8/01/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,415</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,514,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SM Energy Co., 6.63%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>795</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>820,838</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SandRidge Energy, Inc., 7.50%, 3/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,263,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51,283,527</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#8212; 2.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Georgia-Pacific LLC, 8.25%, 5/01/16 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,955</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,488,925</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>International Paper Co.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 8/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,714,752</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.70%, 6/15/38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,031,330</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.30%, 11/15/39</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,075</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,653,169</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,888,176</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#8212; 5.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bristol-Myers Squibb Co., 5.88%, 11/15/36 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,549</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,906,761</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GlaxoSmithKline Capital, Inc., 6.38%, 5/15/38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,554,541</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Merck &amp; Co., Inc. (c):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 12/01/33</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,885</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,436,223</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.55%, 9/15/37</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,945</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,260,230</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pfizer, Inc., 7.20%, 3/15/39</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,628,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,786,205</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Investment Trusts (REITs) &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AvalonBay Communities, Inc., 6.10%, 3/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,075</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,602,859</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ERP Operating LP, 5.75%, 6/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,080</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,570,179</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCP, Inc., 5.38%, 2/01/21</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,675</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,741,089</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,914,127</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realogy Corp., 7.88%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,105</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,116,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Road &amp; Rail &#8212; 1.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asciano Finance Ltd., 5.00%, 4/07/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,475</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500,758</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avis Budget Car Rental LLC, 8.25%, 1/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,080</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,147,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Florida East Coast Railway Corp., 8.13%, 2/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>320</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>339,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Hertz Corp., 6.75%, 4/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,554</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,585,080</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Norfolk Southern Corp., 6.00%, 3/15/2105 (c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,360,396</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,932,934</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="61%"></TD>

   <TD width="6%"></TD>

   <TD width="13%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advanced Micro Devices, Inc., 7.75%, 8/01/20</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,355,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>KLA-Tencor Corp., 6.90%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,208</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,498,310</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,853,560</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AutoNation, Inc., 6.75%, 4/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,775</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,906,812</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Best Buy Co., Inc., 5.50%, 3/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,464,617</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Claire&#8217;s Escrow Corp., 8.88%, 3/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>880</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>855,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Limited Brands, Inc., 7.00%, 5/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,370</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,452,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,679,429</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Tobacco &#8212; 2.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Altria Group, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.70%, 11/10/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,075</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,425,769</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.25%, 8/06/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,199,361</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.20%, 2/06/39</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,832,867</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,457,997</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#8212; 2.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Tower Corp., 4.50%, 1/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,162,118</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cricket Communications, Inc., 7.75%, 5/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>780</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>832,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Crown Castle Towers LLC (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 1/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,975</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,106,355</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.11%, 1/15/40</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,330</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,521,701</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Jackson Holdings SA (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 4/01/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>320</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 4/01/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,020</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,035,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nextel Communications, Inc., Series E,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,040</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,050,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SBA Tower Trust, 5.10%, 4/15/42 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,250</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,406,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,440,174</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Corporate Bonds &#8212; 91.8%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>685,407,520</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Preferred Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Trusts</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#8212; 3.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse Guernsey Ltd., 5.86% (b)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,050</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,023,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State Street Capital Trust III, 8.25% (b)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,740</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,741,966</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State Street Capital Trust IV, 1.31%, 6/01/67 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,195</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,608,604</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,374,320</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 7.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ABN AMRO North America Holding Preferred Capital</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Repackaging Trust I, 6.52% (a)(b)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,320,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BB&amp;T Capital Trust IV, 6.82%, 6/12/77 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,529,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BNP Paribas, 7.20% (a)(b)(c)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,475,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays Bank Plc, 7.43% (a)(b)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,141,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CBA Capital Trust II, 6.02% (a)(b)(c)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,062,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Agricole SA, 6.64% (a)(b)(c)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,450</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,259,635</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dresdner Funding Trust I, 8.15%, 6/30/31 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,715</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,640,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HSBC Capital Funding LP/Jersey Channel Islands,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.18% (a)(b)(c)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,450,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>National City Preferred Capital Trust I, 12.00% (b)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,713</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,161,791</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Standard Chartered Bank, 7.01% (a)(b)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,885,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USB Capital XIII Trust, 6.63%, 12/15/39</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,100</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,377,693</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>58,304,219</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 4.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ING Capital Funding Trust III, 8.44% (b)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,846,797</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JPMorgan Chase Capital XXI, Series U,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.24%, 1/15/87 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,875</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,037,107</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>JPMorgan Chase Capital XXIII, 1.31%, 5/15/77 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,695</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,399,176</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,283,080</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<TR>

   <TD width="13%"></TD>

   <TD width="51%"></TD>

   <TD width="34%"></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>36</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<!--$$/page=--><A name="page_38"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></B><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="17%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Trusts</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electric Utilities &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PPL Capital Funding, 6.70%, 3/30/67 (b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,900</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,875,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#8212; 6.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AXA SA, 6.46% (a)(b)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,467,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ace Capital Trust II, 9.70%, 4/01/30</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,220,040</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Allstate Corp., 6.50%, 5/15/67 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,130,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American General Capital II, 8.50%, 7/01/30</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>300</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>339,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aon Corp., 8.21%, 1/01/27</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,520,428</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chubb Corp., 6.38%, 3/29/67 (b)(c)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,280,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,440,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lincoln National Corp., 7.00%, 5/17/66 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,255</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,398,819</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MetLife, Inc., 6.40%, 12/15/66</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,550</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,550,164</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reinsurance Group of America, 6.75%, 12/15/65 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,897,569</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swiss Re Capital I LP, 6.85% (a)(b)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,981,298</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ZFS Finance (USA) Trust IV, 5.88%, 5/09/32 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>599</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>597,167</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>48,821,985</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Enterprise Products Operating LLC, 8.38%, 8/01/66 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,888,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,074,312</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,962,437</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Capital Trusts &#8212; 23.8%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>177,621,666</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Preferred Stocks</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dana Holding Corp., 4.00%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,092,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SG Preferred Capital II, 6.30%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,906,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Thrifts &amp; Mortgage Finance &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fannie Mae, 8.25% (f)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,920</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Freddie Mac, Series Z, 8.38% (f)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,460</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>93,380</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Investment Trusts (REITs) &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sovereign Real Estate Investment Corp., 12.00%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,050,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#8212; 1.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Centaur Funding Corp., 9.08%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,231,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Preferred Stocks &#8212; 3.1%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,373,755</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trust Preferreds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,518</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,652,572</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Trust Preferreds &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,652,572</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Preferred Securities &#8212; 27.4%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>204,647,993</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Taxable Municipal Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>City of Chicago Illinois, RB, Build America Bonds,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.85%, 1/01/38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,033,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Metropolitan Transportation Authority, RB,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Build America Bonds, 6.55%, 11/15/31</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,075</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,272,352</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State of California, GO, Build America Bonds,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.35%, 11/01/39</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,050</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,274,783</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Taxable Municipal Bonds &#8212; 1.6%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,580,535</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="18%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>U.S. Treasury Obligations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Treasury Bonds, 4.75%, 2/15/41</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,437,560</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Treasury Notes, 3.63%, 2/15/21</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,755</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,101,783</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total U.S. Treasury Obligations &#8212; 2.3%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,539,343</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Long-Term Investments</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $902,567,319) &#8212; 124.2%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>927,178,247</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Short-Term Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class, 0.10% (g)(h)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Short-Term Securities</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $500) &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Options Purchased</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Dual Binary Options &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Receive 1.00% of notional amount at expiration date</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>if 30 year swap is below or at 4.30% and 5 year</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>swap is above or at 2.38% based on ISDAFIX,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expires 6/23/11, Broker Goldman Sachs Bank USA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>77,300,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>101,109</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Put Options &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>S&amp;P 500 Index, Strike Price USD 1,250.00,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expires 9/17/11, Broker Credit Suisse International</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>196</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486,080</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Put Swaptions &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pay a fixed rate of 2.85% and receive a floating rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on 3-month LIBOR, Expires 6/24/11,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker Citibank NA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12,600</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,732</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Options Purchased</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $1,149,820) &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>595,921</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments Before Options Written</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $903,717,639) &#8212; 124.3%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>927,774,668</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Options Written</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Call Swaptions &#8212; (0.2)%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pay a fixed rate of 4.06% and receive a floating rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on 3-month LIBOR, Expires 4/16/12,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(581,981)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pay a fixed rate of 4.75% and receive a floating rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on 3-month LIBOR, Expires 3/24/14,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker Citibank NA</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,070,108)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,652,089)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Put Swaptions &#8212; (0.2)%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Receive a fixed rate of 4.06% and pay a floating rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on 3-month LIBOR, Expires 4/16/12,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(350,604)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Receive a fixed rate of 4.75% and pay a floating rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on 3-month LIBOR, Expires 3/24/14,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker Citibank NA</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(889,477)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="51%"></TD>

   <TD width="37%"></TD>

   <TD width="11%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 29px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>37</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

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<!--$$/page=--><A name="page_39"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></STRONG><BR>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="59%"></TD>

   <TD width="20%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Options Written</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Put Swaptions (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sold credit default protection on Dow Jones CDX</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>North America Investment Grade Series 16,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Strike Price $120.00, Expires 9/21/11,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker Credit Suisse International</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 245,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (179,561)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,419,642)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Options Written</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Premiums Received &#8212; $3,805,700) &#8212; (0.4)%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,071,731)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments, Net of Options Written</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $907,523,339*) &#8212; 123.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>924,702,937</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities in Excess of Other Assets &#8212; (23.9)%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(177,968,157)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets &#8212; 100.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$746,734,780</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>* The cost and unrealized appreciation (depreciation) of investments as of April 30,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011, as computed for federal income tax purposes, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="56%"></TD>

   <TD width="43%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 903,051,992</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp; 35,104,745</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10,382,069)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp; 24,722,676</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These securities may be resold in transactions exempt from registration to qualified</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Variable rate security. Rate shown is as of report date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) All or a portion of security has been pledged as collateral in connection with open</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reverse repurchase agreements.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(d) Security is perpetual in nature and has no stated maturity date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Represents a payment-in-kind security which may pay interest/dividends in</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>additional par/shares.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Non-income producing security.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) Investments in companies considered to be an affiliate of the Fund during the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amended, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="27%"></TD>

   <TD width="21%"></TD>

   <TD width="17%"></TD>

   <TD width="19%"></TD>

   <TD width="14%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>October 31,</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>April 30,</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Affiliate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Activity</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds, TempFund,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,924,664</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(26,924,164)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 22,209</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>(h) Represents the current yield as of report date.<BR></FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For Fund compliance purposes, the Fund&#8217;s industry classifications refer to any one</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or more of the industry sub-classifications used by one or more widely recognized</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or rating group indexes, and/or as defined by Fund management.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These definitions may not apply for purposes of this report, which may combine</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>such industry sub-classifications for reporting ease.<BR><BR></FONT><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reverse repurchase agreements outstanding as of April 30, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="23%"></TD>

   <TD width="11%"></TD>

   <TD width="14%"></TD>

   <TD width="11%"></TD>

   <TD width="20%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>

   <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trade&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Maturity</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Closing</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Face</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BNP Paribas</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.39%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/05/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,164,938</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,161,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/05/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,304,350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,291,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/05/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,767,301</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,752,256</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.25%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/07/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,178,783</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,177,044</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/27/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,480,991</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,475,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/31/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,094,541</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,092,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/01/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,417,410</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,410,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/02/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,865,689</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,863,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/04/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,503,418</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,501,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/07/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,527,667</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,524,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/08/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,107,781</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,104,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/10/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,747,719</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,738,498</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/11/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,219,029</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,206,188</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/23/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,928,720</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,923,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2/28/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,187,234</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,186,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/03/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,583,930</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,582,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/09/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,476,034</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,471,775</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/10/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,986,406</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,982,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/17/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,154,582</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,150,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.37%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/28/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,122,983</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,120,062</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/28/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,433,285</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,431,562</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.37%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/31/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,856,597</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,855,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/07/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,137,220</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,135,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/11/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,358,685</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,358,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/12/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,900,643</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,898,718</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/13/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,193,732</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,192,219</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,698,697</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,697,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/18/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,477,132</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,476,323</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/18/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,487,061</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,486,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/20/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,401,471</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,401,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/28/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,669,548</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,669,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/28/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Open</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,234,650</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,234,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$200,668,247 $200,550,720</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif><BR>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts purchased as of April 30, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="9%"></TD>

   <TD width="21%"></TD>

   <TD width="20%"></TD>

   <TD width="14%"></TD>

   <TD width="17%"></TD>

   <TD width="16%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Issue</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Exchange</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>333</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2-Year U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Note</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$72,620,649</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 347,976</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Long-Term U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Bond</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,980,341</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>79,034</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 427,010</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="13%"></TD>

   <TD width="51%"></TD>

   <TD width="34%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>38</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_40"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Credit Allocation Income Trust IV (BTZ)<BR></FONT></STRONG>Schedule of Investments (concluded) <BR></FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts sold as of April 30, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="9%"></TD>

   <TD width="20%"></TD>

   <TD width="20%"></TD>

   <TD width="14%"></TD>

   <TD width="17%"></TD>

   <TD width="3%"></TD>

   <TD width="13%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts Issue</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Exchange</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>392</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5-Year U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Note</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;$46,019,986&nbsp;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(419,764)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10-Year U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Note</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,721,870</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(152,270)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>139</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ultra U.S.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>June</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Treasury Bond</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Trade</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$17,157,057</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(339,568)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (911,602)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif><BR>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on single-name issuer &#8212; sold protection outstanding as of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>April 30, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="13%"></TD>

   <TD width="14%"></TD>

   <TD width="12%"></TD>

   <TD width="14%"></TD>

   <TD width="17%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Receive</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issuer</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counter-</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Issuer</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>party</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rating</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MetLife, Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.00%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/20/18</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A&#8211;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 39,077</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Using S&amp;P&#8217;s rating of the underlying securities.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The maximum potential amount the Fund may pay should a negative event take</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>place as defined under the terms of agreement.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate swaps outstanding as of April 30, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="11%"></TD>

   <TD width="13%"></TD>

   <TD width="24%"></TD>

   <TD width="15%"></TD>

   <TD width="7%"></TD>

   <TD width="10%"></TD>

   <TD width="17%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fixed</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counter-</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Amount</FONT></B>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>party</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Depreciation)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.98%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a)</FONT></SUP>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/30/13</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (451,046)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.32%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b)</FONT></SUP>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3/28/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65,964</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.34%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a)</FONT></SUP>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/41</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(83,872)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.38%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a)</FONT></SUP>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goldman Sachs</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>International</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/14/41</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(144,964)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.35%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a)</FONT></SUP>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3-month</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LIBOR</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4/15/41</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(160,782)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (774,700)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(a)</FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pays a fixed interest rate and receives floating rate.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b)</FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pays floating interest rate and receives fixed rate.</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="2%"></TD>

   <TD width="97%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226;</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fair Value Measurements &#8212; Various inputs are used in determining the fair value of</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments and derivative financial instruments. These inputs are summarized in</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>three broad levels for financial statement purposes as follows:</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1 &#8212; price quotations in active markets/exchanges for identical assets</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and liabilities</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 2 &#8212; other observable inputs (including, but not limited to: quoted prices for</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>similar assets or liabilities in markets that are active, quoted prices for identical</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or similar assets or liabilities in markets that are not active, inputs other than</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quoted prices that are observable for the assets or liabilities (such as interest</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>default rates) or other market-corroborated inputs)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 &#8212; unobservable inputs based on the best information available in the</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>circumstances, to the extent observable inputs are not available (including the</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#8217;s own assumptions used in determining the fair value of investments and</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>derivative financial instruments)</FONT>&nbsp;</TD></TR>

<TR height=20>

   <TD align=left></TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The inputs or methodologies used for valuing securities are not necessarily an</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>indication of the risk associated with investing in those securities. For information</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>about the Fund&#8217;s policy regarding valuation of investments and derivative financial</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>instruments and other significant accounting policies, please refer to Note 1 of the</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Notes to Financial Statements.</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>The following tables summarize the inputs used as of April 30, 2011 in determining</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the fair valuation of the Fund&#8217;s investments and derivative financial instruments:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="21%"></TD>

   <TD width="17%"></TD>

   <TD width="21%"></TD>

   <TD width="19%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 9px" colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investments in Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Long-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset-Back</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,328,856</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,674,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8,002,856</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bonds</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>685,127,350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>280,170</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>685,407,520</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Preferred</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$3,745,952</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200,902,041</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>204,647,993</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Taxable</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Municipal</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bonds</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,580,535</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,580,535</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S Treasury</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Obligations</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,539,343</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,539,343</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Short-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$3,746,452</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$919,478,125</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,954,170</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$927,178,747</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="21%"></TD>

   <TD width="17%"></TD>

   <TD width="21%"></TD>

   <TD width="19%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=5 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Derivative Financial Instruments</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B></TD></TR>

<TR>

   <TD colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 427,010</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 74,696</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 101,109</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 602,815</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,077</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,077</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Equity</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486,080</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>486,080</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(911,602)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,732,834)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,644,436)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(179,561)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(179,561)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (484,592)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (3,132,981)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (78,452)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (3,696,025)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Derivative financial instruments are swaps, financial futures contracts and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>options. Swaps and financial futures contracts are valued at the unrealized</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>appreciation/depreciation on the instrument and options are shown at value.</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="51%"></TD>

   <TD width="37%"></TD>

   <TD width="11%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 29px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>39</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_41"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Floating Rate Income Trust (BGT)</FONT></STRONG><BR>Schedule of Investments </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>April 30, 2011 (Unaudited) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="7%"></TD>

   <TD width="11%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset-Backed Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ARES CLO Funds, Series 2005-10A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.70%, 9/18/17 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 864,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ballyrock CDO Ltd., Series 2006-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.66%, 8/28/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>850,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Canaras Summit CLO Ltd., Series 2007-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.79%, 6/19/21 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>930</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>772,932</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Centurion CDO 9 Ltd., Series 2005-9A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.07%, 7/17/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>632,032</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chatham Light CLO Ltd., Series 2005-2A, Class A2,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.71%, 8/03/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>897,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Flagship CLO, Series 2006-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.66%, 9/20/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,196</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>998,660</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Franklin CLO Ltd., Series 6A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.76%, 8/09/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,180</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,019,284</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gannett Peak CLO Ltd., Series 2006-1X, Class A2,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.66%, 10/27/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>715</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>604,175</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Greyrock CDO Ltd., Series 2005-1X, Class A2L,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.73%, 11/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,495</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,302,444</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Landmark CDO Ltd., Series 2006-8A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.66%, 10/19/20 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,335</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,132,320</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MAPS CLO Fund LLC, Series 2005-1A, Class C,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.25%, 12/21/17 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>705</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>607,358</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portola CLO Ltd., Series 2007-1X, Class B1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.76%, 11/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>855,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>T2 Income Fund CLO Ltd., Series 2007-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.90%, 7/15/19 (a)(b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>815</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>726,010</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Asset-Backed Securities &#8212; 3.2%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,261,965</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common Stocks (c)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USI United Subcontractors Common</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,645</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>160,535</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLB Worldwide Holdings, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,832</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>546,444</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Euramax International</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,135</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>360,426</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd. (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62,685</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>204,721</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55,255</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>180,455</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>385,176</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bankruptcy Management Solutions, Inc.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,947</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,329</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Holdings/EduMedia</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>115,632</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>578,160</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>588,489</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Common Stocks &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,041,070</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Air Canada, 9.25%, 8/01/15 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>590</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>610,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Icahn Enterprises LP, 7.75%, 1/15/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,175</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,270,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beverages &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Central European Distribution Corp., 2.62%, 5/15/14</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,043,987</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Grohe Holding GmbH, 5.17%, 9/15/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,039,347</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>E*Trade Financial Corp., 3.37%, 8/31/19 (a)(d)(e)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>439</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>689,230</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>OXEA Finance/Cy SCA, 9.50%, 7/15/17 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>715</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>788,288</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="62%"></TD>

   <TD width="7%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 3.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., 7.00%, 5/01/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,425</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,460,953</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>VTB Capital SA:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.47%, 3/04/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,202,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 5/29/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,940</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,235,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,899,253</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,070</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,091,449</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ardagh Packaging Finance Plc, 7.38%, 10/15/17 (a)</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>611,715</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GCL Holdings, 9.38%, 4/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>329</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>497,093</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit Kappa Acquisitions (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.25%, 11/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>655</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,008,959</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 11/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>620</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>964,229</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,081,996</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ally Financial, Inc., 2.51%, 12/01/14 (b)</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,656,973</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Issuer, Inc., 6.88%, 2/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>490</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>505,312</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,162,285</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ITC Deltacom, Inc., 10.50%, 4/01/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>530</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>588,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments &amp; Components &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CDW LLC, 8.00%, 12/15/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>630</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>670,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Compagnie Generale de Geophysique-Veritas:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.50%, 5/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,135</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.75%, 5/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47,475</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53,610</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smithfield Foods, Inc., 10.00%, 7/15/14</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>315</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>373,275</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HCA, Inc., 7.25%, 9/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,230</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,322,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tenet Healthcare Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 5/01/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>95</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>103,550</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,466,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beazer Homes USA, Inc., 12.00%, 10/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,730,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berkline/BenchCraft, LLC, 4.50%, 11/03/12 (c)(f)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,730,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp., 7.38%, 6/15/19 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>940</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>957,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#8212; 1.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AES Ironwood LLC, 8.86%, 11/30/25</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>77</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>77,496</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>105</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>114,975</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Holdings Corp., 10.00%, 1/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,070,080</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Energy Future Intermediate Holding Co. LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.00%, 12/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,350</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,526,438</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NRG Energy, Inc., 7.63%, 1/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,625,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,413,989</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>KION Fiance SA, 5.53%, 4/15/18</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,332,304</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 3.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CCH II LLC, 13.50%, 11/30/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>224</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>269,668</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clear Channel Worldwide Holdings, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.25%, 12/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>501</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>556,736</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series B, 9.25%, 12/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,704</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,895,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kabel BW Erste Beteiligungs GmbH, 5.39%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,006,735</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Germany GmbH, 8.13%, 12/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,643,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Secured Finance Plc, 7.00%, 1/15/18</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>847</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,520,895</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ziggo Finance BV, 6.13%, 11/15/17 (a)</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,005</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,503,442</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,396,926</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="13%"></TD>

   <TD width="51%"></TD>

   <TD width="34%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>40</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_42"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Floating Rate Income Trust (BGT)</FONT></STRONG><BR>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FMG Resources August 2006 Property Ltd.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 11/01/15 (a)</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,055</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,113,025</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foundation PA Coal Co., 7.25%, 8/01/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>505</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>515,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New World Resources NV, 7.88%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>285</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>444,289</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Novelis, Inc., 8.38%, 12/15/17</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,170</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,292,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,365,264</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 3.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coffeyville Resources LLC, 9.00%, 4/01/15 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>342</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>372,780</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>KazmunaiGaz Finance Sub BV, 8.38%, 7/02/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,666,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Morgan Stanley Bank AG for OAO Gazprom,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.63%, 3/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,230</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,203,881</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Petroleos de Venezuela SA, 5.25%, 4/12/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,460,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,703,536</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (a)(g)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>519</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>526,742</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verso Paper Holdings LLC, Series B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.05%, 8/01/14 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>450</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>436,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>963,242</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Valeant Pharmaceuticals International,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 7/15/16 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>845</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>843,416</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Transportation Infrastructure &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aguila 3 SA, 7.88%, 1/31/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CHF</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,319,380</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cricket Communications, Inc., 7.75%, 5/15/16</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,081,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iPCS, Inc., 2.43%, 5/01/13 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,155</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,117,463</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,199,088</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Corporate Bonds &#8212; 22.4%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>78,054,665</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aerospace &amp; Defense &#8212; 2.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DynCorp International, Term Loan, 6.25%, 4/11/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,365</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,372,774</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawker Beechcraft Acquisition Co., LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Letter of Credit Linked Deposit, 2.31%, 3/26/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>85</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>74,453</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.21% &#8211; 2.31%, 3/26/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,409</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,239,007</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SI Organization, Inc., Term Loan B, 4.50%, 11/03/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,319</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,319,187</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Scitor Corp., Term Loan B, 5.00%, 1/21/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,696</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,695,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransDigm, Inc., Term Loan (First Lien), 4.00%, 2/14/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,995</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,014,627</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wesco Aircraft Hardware Corp., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.25%, 4/07/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,225</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,236,739</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,952,537</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Airlines &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Air Lines, Inc., Term Loan B, 5.50%, 4/20/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,250</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,194,219</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GPX International Tire Corp., Tranche B Term Loan (c)(f):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.37%, 3/30/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>274</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.00%, 4/11/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UCI International, Inc., Term Loan, 5.50%, 7/04/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>948</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>955,917</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>955,917</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beverages &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Le-Nature&#8217;s, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.50%, 3/01/11 (c)(f)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>380,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Biotechnology &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Grifols SA, Term Loan B, 6.00%, 6/04/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>710</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>716,435</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products &#8212; 3.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Armstrong World Industries, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.00%, 3/10/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,408,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CPG International I, Inc., Term Loan B, 6.00%, 2/03/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,145</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,148,646</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Building Products (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Goodman Global, Inc., Initial Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 10/06/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,970</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,013,808</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Momentive Performance Materials (Blitz 06-103 GmbH):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 3.75%, 12/04/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>584</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>579,056</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-2B Term Loan, 4.65%, 12/04/13</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>819</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,185,172</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>United Subcontractors, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.81%, 6/30/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>179</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>161,251</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,495,983</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Markets &#8212; 1.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Capital Ltd., Term Loan B, 7.50%, 12/31/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>624</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>625,284</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HarbourVest Partners, Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 11/10/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,370</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,381,379</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Co., LLC, Term Loan, 5.31%, 12/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>371</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>294,728</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nuveen Investments, Inc., (First Lien):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Extended Term Loan, 5.77% &#8211; 5.81%, 5/13/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,773</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,777,179</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non-Extended Term Loan, 3.27% &#8211; 3.31%, 11/13/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,175</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,139,889</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,218,459</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 7.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AZ Chem US, Inc., Term Loan, 4.75%, 11/21/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,242</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,249,021</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>American Rock Salt Co., LLC, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 4/11/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,209,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brenntag Holding GmbH &amp; Co. KG:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acquisition Facility 1, 1.06% &#8211; 3.50%, 1/20/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>414</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>686,119</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acquisition Facility 1, 3.71% &#8211; 3.95%, 1/20/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>232</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>231,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acquisition Facility 2, 4.68% &#8211; 4.75%, 1/20/14</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>267</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>397,809</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility 2 (Second Lien), 6.43%, 7/17/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,004,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B2, 3.71% &#8211; 3.81%, 1/20/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,332</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,331,552</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 5.13%, 11/24/37</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>414</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>614,508</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chemtura Corp., Term Facility, 5.50%, 8/01/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,814,251</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gentek, Inc., Term Loan B, 5.00%, 10/06/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,189</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,194,472</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ineos US Finance LLC, Senior Credit Term A2 Facility,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 12/17/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>101,428</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MacDermid, Inc., Tranche C Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.40%, 12/15/13</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,436</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,073,372</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nexeo Solutions LLC, Term Loan B, 5.00%, 8/31/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,405,834</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PQ Corp. (FKA Niagara Acquisition, Inc.), Original Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility (First Lien), 3.47% &#8211; 3.53%, 7/30/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,681</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,635,643</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rockwood Specialties Group, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.75%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,220,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Styron Sarl, Term Loan, 6.00%, 6/17/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,092</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,119,926</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tronox Worldwide LLC, Exit Term Loan, 7.00%, 12/24/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,192</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,220,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Univar, Inc., Term Loan B, 5.00%, 6/30/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,993</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,013,340</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,523,694</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Banks &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CIT Group, Inc., Tranche 3 Term Loan, 6.25%, 1/20/12</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,854</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,907,388</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commercial Services &amp; Supplies &#8212; 3.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AWAS Finance Luxembourg Sarl, Loan, 7.75%, 6/10/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>630</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>645,339</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Altegrity, Inc. (FKA US Investigations Services, Inc.),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche D Term Loan, 7.75%, 2/21/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,134</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,145,878</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,175</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,183,156</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Diversey, Inc. (FKA Johnson Diversey, Inc.), Tranche B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dollar Term Loan, 4.00%, 11/24/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>941</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>943,897</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Protection One, Inc., Term Loan, 6.00%, 4/26/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>804</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>805,392</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Quad/Graphics, Inc., Term Loan, 5.50%, 4/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>720</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>719,262</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Synagro Technologies, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.22% &#8211; 2.23%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,941</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,829,177</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Volume Services America, Inc. (Centerplate),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 10.50% &#8211; 10.75%, 8/24/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,219</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,228,017</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,500,118</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Communications Equipment &#8212; 1.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Avaya, Inc., Term Loan B:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.06%, 10/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,284</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,242,482</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.81%, 10/24/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,012</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,966,777</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CommScope, Inc., Term Loan B, 5.00%, 1/03/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,322,041</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,531,300</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="40%"></TD>

   <TD width="46%"></TD>

   <TD width="13%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>41</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<HR align=center SIZE=2 width="100%" noShade>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_43"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Floating Rate Income Trust (BGT)</FONT></STRONG><BR>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="7%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Construction &amp; Engineering &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brand Energy &amp; Infrastructure Services, Inc. (FR Brand</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acquisition Corp.), Synthetic Letter of Credit,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan (First Lien), 0.19%, 2/07/14</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 486,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Safway Services, LLC, First Out Tranche Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 12/18/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,100</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,100,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,586,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Consumer Finance &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Springleaf Financial Funding Co. (FKA AGFS</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funding Co.), Term Loan, 7.25%, 4/21/15</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,002,784</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Containers &amp; Packaging &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Graham Packaging Co., LP:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 6.75%, 4/05/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>715</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>720,424</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan D, 6.00%, 8/09/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,393</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,403,665</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Smurfit Kappa Acquisitions (JSG):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B1, 4.21% &#8211; 4.39%, 7/16/14</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>458</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>679,889</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan Facility C1, 4.34% &#8211; 4.72%, 7/16/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>453</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>672,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,476,078</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Consumer Services &#8212; 2.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Laundry Corp., Delayed Draw Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.26%, 11/14/14</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>490</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>466,701</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Coinmach Service Corp., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.24% &#8211; 3.31%, 11/14/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,241</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,100,864</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Laureate Education:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Term Loan, 3.52%, 8/17/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,388</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,377,211</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 3.52%, 8/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>208</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>206,205</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Series A New Term Loan, 7.00%, 8/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,089</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,096,757</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ServiceMaster Co.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Closing Date Term Loan, 2.75% &#8211; 2.81%, 7/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,505</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,462,544</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 2.72%, 7/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>249</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>245,233</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,955,515</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 2.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reynolds Group Holdings, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 2/09/18</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,368,722</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Telecommunication Services &#8212; 3.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hawaiian Telcom Communications, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.00%, 10/28/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,814</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,852,222</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Integra Telecom Holdings, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.25%, 4/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,010</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,013,591</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 Financing, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Add on Term Loan, 11.50%, 3/13/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>346,938</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Incremental Term Loan, 2.53%, 3/13/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,550</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,508,960</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US Telepacific Corp., Term Loan B, 5.75%, 2/18/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,925</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,928,609</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wind Telecomunicazioni SpA, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.69%, 11/18/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,703,942</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,354,262</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Electronic Equipment, Instruments &amp; Components &#8212; 1.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CDW LLC (FKA CDW Corp.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Extended Term Loan B, 4.50%, 7/15/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,115</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,115,165</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non-Extended Term Loan, 3.97%, 10/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,612</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,609,365</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Flextronics International Ltd., Closing Date Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.49%, 10/01/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,221</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,206,883</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,931,413</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Energy Equipment &amp; Services &#8212; 1.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MEG Energy Corp., Term Loan B, 4.00%, 3/14/18</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,100</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,150,831</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food &amp; Staples Retailing &#8212; 3.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.59%, 7/09/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,525</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,293,791</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advance Pierre Foods, Term Loan (Second Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.25%, 7/29/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,422,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pilot Travel Centers LLC, Term Loan B, 4.25%, 3/25/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,809,643</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>U.S. Foodservice, Inc., Term Loan B, 2.71%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,886</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,821,167</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,347,351</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="59%"></TD>

   <TD width="11%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Food Products &#8212; 6.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advance Pierre Foods, Term Loan (Second Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 9/29/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,159</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,170,846</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Birds Eye Iglo Group Ltd. (Liberator Midco Ltd.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sterling Tranche Loan (Mezzanine),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.36%, 11/02/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>439</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>741,510</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 5.61%, 4/30/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,457,136</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CII Investment, LLC (FKA Cloverhill):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.00% &#8211; 8.50%, 10/14/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>329</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>325,863</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan A, 8.25% &#8211; 8.50%, 10/14/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>928</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>913,598</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 8.25% &#8211; 8.50%, 10/14/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,128</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,116,797</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Del Monte Corp., Term Loan B, 4.50%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,634,882</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Green Mountain Coffee Roasters, Inc., Term B Facility,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 9/14/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>898</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>908,972</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michaels Stores, Inc., Term Loan B, 4.25%, 2/28/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,297</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,306,927</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pinnacle Foods Finance LLC, Tranche D Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.00%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,468</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,486,084</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Solvest, Ltd. (Dole):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B-1 Term Loan, 5.50%, 3/02/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>148</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>149,289</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C-1 Term Loan, 5.00%, 3/02/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>369</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>372,369</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,584,273</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Equipment &amp; Supplies &#8212; 0.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Biomet, Inc., Euro Term Loan, 4.13% &#8211; 4.15%, 3/25/15&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>991</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,462,693</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DJO Finance LLC (FKA ReAble Therapeutics</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Finance LLC), Term Loan, 3.21%, 5/20/14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>907</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>902,310</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,365,003</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 4.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Extended Term Loan, 3.81%, 1/25/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>67</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65,672</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non-Extended Delayed Draw Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.56%, 7/25/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>102</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>99,168</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Non-Extended Term Loan, 2.56%, 7/25/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,977</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,926,980</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ConvaTec Ltd., Dollar Term Loan, 5.75%, 12/20/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,222</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,225,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,895</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,911,028</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Emergency Medical Services Corp., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 4/14/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,212,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harden Healthcare, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Additional Term Loan, 7.75%, 3/02/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,531</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500,414</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche A Term Loan, 8.50%, 2/22/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>879</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>861,699</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>inVentiv Health, Inc. (FKA Ventive Health, Inc.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.75%, 8/14/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,062</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,071,384</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B2, 4.75%, 8/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>532</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>533,164</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Renal Advantage Holdings, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 11/12/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,496</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,511,212</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vanguard Health Holding Co. II, LLC (Vanguard Health</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Systems, Inc.), Initial Term Loan, 5.00%, 1/29/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,558</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,561,905</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,480,651</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Technology &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IMS Health, Inc., Term Loan B, 4.50%, 2/26/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,569</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,582,526</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MedAssets, Inc., Term Loan B, 5.25%, 11/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,022</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,030,713</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,613,239</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 8.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ameristar Casinos, Inc., Term Loan B, 4.00%, 3/29/18</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,950</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,966,713</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BLB Worldwide Holdings, Inc. (Wembley, Inc.),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan (Exit), 8.50%, 11/05/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,421</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,427,608</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dunkin&#8217; Brands, Inc., Term Loan B, 4.25%, 11/23/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,293</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,309,466</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gateway Casinos &amp; Entertainment, Ltd., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%, 10/20/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CAD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,429</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,716,048</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Harrah&#8217;s Operating Co., Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-2, 3.30%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>936,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-3, 3.24%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,488</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,017,164</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B-4, 9.50%, 10/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>658</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>697,175</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>OSI Restaurant Partners, LLC, Pre-Funded RC Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.52%, 6/14/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,524</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="13%"></TD>

   <TD width="51%"></TD>

   <TD width="34%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>42</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Floating Rate Income Trust (BGT)</FONT></STRONG><BR>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SeaWorld Parks &amp; Entertainment, Inc. (FKA SW</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acquisitions Co., Inc.), Term Loan B, 4.00%, 8/16/17 USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,976</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,989,243</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Six Flags Theme Parks, Inc., Tranche B Term Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 5.25%, 6/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,225</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,238,770</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Universal City Development Partners Ltd., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 11/06/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>402</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>404,348</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>VML US Finance LLC (FKA Venetian Macau):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Project Term Loan, 4.72%, 5/27/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150,397</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Delayed Draw Project Loan, 4.72%, 5/25/12</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,638</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,638,545</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B Funded Project Loan, 4.72%, 5/27/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,685</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,686,260</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,209,511</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berkline/Benchcraft, LLC, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.04%, 11/03/11 (c)(f)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>133</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,656</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Visant Corp. (FKA Jostens), Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 12/22/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,321</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,326,119</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,332,775</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Products &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Armored Auto Group, Inc. (Viking Acquisition, Inc.),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 6.00%, 11/05/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,576</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,568,170</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>IT Services &#8212; 4.7%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amadeus IT Group SA/Amadeus Verwaltungs GmbH</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(WAM Acquisition):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B3 Facility, 4.47%, 6/30/13</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>615</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>908,818</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term B4 Facility, 4.47%, 6/30/13</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>317</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>468,906</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term C3 Facility, 4.97%, 6/30/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>615</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>908,817</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term C4 Facility, 4.97%, 6/30/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>314</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>463,391</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ceridian Corp., US Term Loan, 3.21%, 11/09/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,867</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,828,967</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>First Data Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan, 2.96%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,434</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,207,566</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan, 2.96%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>833</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>790,483</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 2.96%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,921</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,771,716</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TransUnion LLC, Replacement Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.75%, 2/03/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,860</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,876,848</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Travelex Plc:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche B5, 2.93%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>637</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>633,629</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche C5, 3.43%, 10/31/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>632</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>628,211</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,487,352</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Power Producers &amp; Energy Traders &#8212; 2.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Calpine Corp., Term Loan B, 4.50%, 3/04/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,525</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,573,310</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Texas Competitive Electric Holdings Co., LLC (TXU):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-1 Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.73% &#8211; 3.75%, 10/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,439</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,077,111</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-2 Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.73% &#8211; 3.75%, 10/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>624</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>531,261</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Initial Tranche B-3 Term Loan, 3.73%, 10/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,099</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>935,397</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,117,079</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Industrial Conglomerates &#8212; 1.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sequa Corp., Term Loan, 3.50% &#8211; 3.56%, 12/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,497</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,484,139</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tomkins Plc, Term Loan B, 4.25%, 9/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,194</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,212,961</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,697,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Insurance &#8212; 0.6%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CNO Financial Group, Inc., Term Loan, 7.50%, 9/30/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,058</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,073,771</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Internet &amp; Catalog Retail &#8212; 0.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>FTD Group, Inc., Tranche B Term Loan, 6.75%, 8/26/14</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>536</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>537,258</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Machinery &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Navistar Financial Corp., Term Loan B, 4.56%, 12/16/12</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,020</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,017,702</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Marine &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Horizon Lines, LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Revolving Loan, 0.50% &#8211; 8.00%, 8/08/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>676</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>657,461</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 6.06%, 8/08/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>317</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>312,544</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>970,005</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 22.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Acosta, Inc., Term Loan, 4.75%, 2/03/18</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,550</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,564,874</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Affinion Group, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.00%, 10/09/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,379</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,380,489</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amsterdamse Beheer &#8212; En Consultingmaatschappij BV</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Casema), Kabelcom Term Loan Facility B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.95%, 9/12/14</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>619</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>915,395</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Atlantic Broadband Finance, LLC, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.00%, 3/09/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>973</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>978,081</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bresnan Telecommunications Co. LLC, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.50%, 11/30/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,066</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,087,908</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cengage Learning Acquisitions, Inc. (Thomson Learning):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 2.46%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,731</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,586,883</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tranche 1 Incremental Term Loan, 7.50%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,127</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,132,555</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Charter Communications Operating, LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 7.25%, 3/06/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>522</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>529,516</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 3.56%, 9/06/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,131</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,133,952</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clarke American Corp., Term Facility,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.71% &#8211; 2.81%, 6/30/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,086</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,039,351</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Clear Channel Communications, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.92%, 1/21/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,385</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,123,313</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Echostar DBS Corp., Bridge Loan, 0.00%, 1/31/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,545</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Getty Images, Inc., Initial Term Loan, 5.25%, 10/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,587</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,611,253</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Publishing Co., Ltd., Tranche A Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.03%, 6/12/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,927</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,869,286</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hubbard Radio LLC, Term Loan (Second Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 4/12/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,111,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Intelsat Jackson Holdings SA (FKA Intel Jackson</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Holdings Ltd.), Tranche B Term Loan, 5.25%, 3/07/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,323,475</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interactive Data Corp., Term Loan, 4.75%, 2/08/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,417,510</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kabel Deutschland GmbH:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility A1 (Consent and Roll), 3.46%, 6/01/12</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,913</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,795,805</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mezzanine, 5.21%, 12/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,486,542</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Knology, Inc., Term Loan B, 4.00%, 8/31/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,147</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,151,069</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lavena Holding 3 GmbH (Prosiebensat.1 Media AG):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B1, 3.68%, 6/28/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>304</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>414,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C1, 3.93%, 6/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>608</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>828,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Liberty Cablevision of Puerto Rico, Ltd., Initial Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility, 2.31%, 6/17/14</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,444</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,429,313</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MCNA Cable Holdings LLC (OneLink Communications),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan, 6.97%, 3/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>901</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>847,079</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mediacom Illinois, LLC (FKA Mediacom Communications,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>LLC), Tranche D Term Loan, 5.50%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,224</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,225,546</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Newsday, LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fixed Rate Term Loan, 10.50%, 8/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,595,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating Rate Term Loan, 6.53%, 8/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,267,188</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Nielsen Finance LLC, Dollar Term Loan:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class A Dollar, 2.23%, 8/09/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>65,032</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class B, 3.98%, 5/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,258</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,263,735</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sinclair Television Group, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.00%, 10/29/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>845</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>847,011</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Springer Science+Business Media SA, Facility A1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.75%, 7/01/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,763,379</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sunshine Acquisition Ltd. (FKA HIT Entertainment),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Facility, 5.56%, 6/01/12</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,965</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,940,912</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Telesat Canada:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan, 3.22%, 10/31/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>375</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>374,573</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 3.22%, 10/31/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,368</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,360,720</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UPC Broadband Holding BV, Term U, 4.96%, 12/31/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,036</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,994,083</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Univision Communications, Inc., Extended Term Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 4.46%, 3/29/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,452</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,395,370</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Virgin Media Investment Holdings Ltd., Facility B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.57%, 12/31/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,822</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,046,986</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Weather Channel, Term Loan B, 4.25%, 2/01/17</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,843</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,868,341</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>79,765,304</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="51%"></TD>

   <TD width="37%"></TD>

   <TD width="11%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 29px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>43</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

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<!--$$/page=--><A name="page_45"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Floating Rate Income Trust (BGT)</FONT></STRONG><BR>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="7%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Metals &amp; Mining &#8212; 2.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Novelis Corp., Term Loan, 4.00%, 11/29/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,491</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,522,891</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Walter Energy, Inc., Term Loan B, 4.00%, 2/04/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,100</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,148,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,671,691</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multi-Utilities &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Mach Gen, LLC, Synthetic Letter of Credit Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 2.31%, 2/22/13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>69</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63,926</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Multiline Retail &#8212; 2.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Hema Holding BV:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility B, 2.99%, 7/06/15</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>172</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>251,635</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility C, 3.74%, 7/05/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>172</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>251,636</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility D, 5.99%, 1/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,543,945</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Neiman Marcus Group, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.31%, 4/06/13</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>796</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>796,463</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,843,679</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Oil, Gas &amp; Consumable Fuels &#8212; 1.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Alpha Natural Resources, Inc., Bridge Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.25%, 1/12/28</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,700</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EquiPower Resources Holdings, LLC, Term Facility B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.75%, 1/04/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,975</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,989,813</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Obsidian Natural Gas Trust, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 11/30/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,831</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,901,579</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,891,392</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Paper &amp; Forest Products &#8212; 0.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Verso Paper Finance Holdings LLC, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.55% &#8211; 7.30%, 2/01/13 (g)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>398</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>358,378</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Personal Products &#8212; 0.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NBTY, Inc., Term Loan B, 4.25%, 10/01/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,397</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,405,228</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Pharmaceuticals &#8212; 1.4%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Axcan Intermediate Holdings, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.50%, 1/25/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,693</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,687,360</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warner Chilcott Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B1, 4.25%, 3/17/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>960</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>966,901</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B2, 4.25%, 3/17/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>480</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>483,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B3, 4.25%, 3/17/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>660</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>664,744</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,802,455</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Professional Services &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Booz Allen Hamilton, Inc., Term Loan B, 4.00%, 8/01/17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,818,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fifth Third Processing Solutions, LLC, Term Loan B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(First Lien), 5.50%, 10/21/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,610</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,622,240</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,441,140</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Investment Trusts (REITs) &#8212; 1.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>iStar Financial, Inc., Term Loan A, 5.00%, 6/28/13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,479</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,450,408</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Real Estate Management &amp; Development &#8212; 1.8%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Pivotal Promontory, LLC, Term Loan (Second Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.25%, 8/31/11 (c)(f)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>750</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realogy Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 4.56%, 10/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,019</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,648,213</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan C, 4.64%, 10/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>509</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>477,494</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,125,708</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Semiconductors &amp; Semiconductor Equipment &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Freescale Semiconductor, Inc., Extended Maturity</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan, 4.49%, 12/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>564</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>564,410</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Microsemi Corp., Term Loan B, 4.00%, 10/25/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,097</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,086,605</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,651,015</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#8212; 0.5%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bankruptcy Management Solutions, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility (Second Lien), 8.30%, 8/20/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>249</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,955</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Term Loan B, 7.50%, 8/20/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>719</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>280,550</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="63%"></TD>

   <TD width="6%"></TD>

   <TD width="11%"></TD>

   <TD width="17%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Par</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Loan Interests (b)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software (concluded)</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rovi Corp., Term Loan B, 4.00%, 2/07/18</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,007,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vertafore, Inc., Term Loan B, 5.25%, 7/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>343</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>344,602</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,647,607</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Specialty Retail &#8212; 3.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Burlington Coat Factory Warehouse Corp., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%, 2/18/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,072</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,069,930</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>General Nutrition Centers, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.25%, 2/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,625</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,633,203</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>J. Crew Group, Inc., Term Loan B, 4.75%, 2/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,395</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,392,001</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Jo-Ann Stores, Inc., Term Loan B, 4.75%, 3/10/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>899,438</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Matalan Finance Plc, Term Facility, 5.62%, 3/24/16</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,201</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,989,631</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michaels Stores, Inc., Term Loan B-1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.56% &#8211; 2.63%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>820</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>811,749</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Petco Animal Supplies, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.50%, 11/24/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,732</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,754,601</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Toys &#8216;R&#8217; US, Inc., Term Loan B, 6.00%, 8/17/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,975</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,988,231</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,538,784</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Textiles, Apparel &amp; Luxury Goods &#8212; 1.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Phillips-Van Heusen Corp., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.92%, 5/04/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,037</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,542,519</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Wireless Telecommunication Services &#8212; 2.2%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Digicel International Finance Ltd., US Term Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Non-Rollover), 2.81%, 3/30/12</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,044</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,998,229</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>MetroPCS Wireless, Inc., Term Loan B, 4.00%, 3/31/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,244</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,242,265</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Vodafone Americas Finance 2 Inc., Initial Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 7/30/15 (g)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,329</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,399,377</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,639,871</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Floating Rate Loan Interests &#8212; 115.6%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>403,442,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Foreign Agency Obligations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Argentina Bonos:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.68%, 8/03/12 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,417,121</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.00%, 10/03/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,897,945</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Colombia Government International Bond,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.86%, 3/17/13 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>840</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>859,740</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Uruguay Government International Bond,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.88%, 1/19/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>950</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,533,731</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Foreign Agency Obligations &#8212; 1.9%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,708,537</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Beneficial</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interest</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other Interests (h)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(000)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Auto Components &#8212; 0.9%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delphi Debtor-in-Possession Holding Co. LLP,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Class B Membership Interests (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;(i)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,937,364</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Lear Corp. Escrow (c)</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,951,114</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Diversified Financial Services &#8212; 0.3%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>J.G. Wentworth LLC, Preferred Equity Interests (c)(j)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,202,481</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Health Care Providers &amp; Services &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Critical Care Systems International, Inc. (c)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>95</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Hotels, Restaurants &amp; Leisure &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wembley Contigent (c)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Household Durables &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Berkline Benchcraft Equity LLC (c)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Other Interests &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,165,690</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="13%"></TD>

   <TD width="51%"></TD>

   <TD width="34%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>44</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Floating Rate Income Trust (BGT)</FONT></STRONG><BR>Schedule of Investments (continued) <BR></FONT><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Percentages shown are based on Net Assets)</FONT></B></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="64%"></TD>

   <TD width="15%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Warrants (k)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Chemicals &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>British Vita Holdings Co. (Non-Expiring) (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>166</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 49,174</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Media &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New Vision Holdings LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Expires 9/30/14)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,424</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Expires 9/30/14)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,023</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>190</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>224</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Software &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bankruptcy Management Solutions, Inc.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Expires 9/29/17)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>251</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>HMH Holdings/EduMedia (Expires 3/09/17)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,894</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Warrants &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,401</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Long-Term Investments</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $494,186,706) &#8212; 144.9%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>505,724,203</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Short-Term Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity Funds, TempFund,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class, 0.10% (l)(m)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,289,208</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,289,208</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Short-Term Securities</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $4,289,208) &#8212; 1.2%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,289,208</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Options Purchased</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Contracts</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Over-the-Counter Call Options &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Marsico Parent Superholdco LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Strike Price USD 942.86, Expires 12/21/19,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Broker Goldman Sachs Bank USA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Options Purchased</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Cost &#8212; $25,422) &#8212; 0.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investments (Cost &#8212; $498,501,336*) &#8212; 146.1%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>510,013,411</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities in Excess of Other Assets &#8212; (46.1)%</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(160,866,221)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets &#8212; 100.0%</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$349,147,190</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>* The cost and unrealized appreciation (depreciation) of investments as of April 30,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011, as computed for federal income tax purposes, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="57%"></TD>

   <TD width="42%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate cost</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 495,744,368</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized appreciation</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp;&nbsp;21,127,077</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Gross unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,858,034)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized appreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$&nbsp;&nbsp; 14,269,043</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These securities may be resold in transactions exempt from registration to qualified</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>institutional investors.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(b) Variable rate security. Rate shown is as of report date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(c) Non-income producing security.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(d) Convertible security.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e) Represents a zero-coupon bond. Rate shown reflects the current yield as of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>report date.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(f) Issuer filed for bankruptcy and/or is in default of interest payments.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(g) Represents a payment-in-kind security which may pay interest/dividends in</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>additional par/shares.<BR></FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(h) Other interests represent beneficial interest in liquidation trusts and other reorgani-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>zation entities and are non-income producing.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(i) Amount is less than $1,000.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(j) The investment is held by a wholly owned taxable subsidiary of the Fund.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(k) Warrants entitle the Fund to purchase a predetermined number of shares of com-</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mon stock and are non-income producing. The purchase price and number of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shares are subject to adjustment under certain conditions until the expiration date,</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>if any.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(l) Investments in companies considered to be an affiliate of the Fund during the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amended, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="27%"></TD>

   <TD width="22%"></TD>

   <TD width="16%"></TD>

   <TD width="21%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares Held at</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>October 31,</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>April 30,</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Affiliate</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Activity</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Liquidity</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds, TempFund,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Institutional Class</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,770,511</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,481,303)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,289,208&nbsp;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$3,856</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>(m) Represents the current yield as of report date.<BR></FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For Fund compliance purposes, the Fund&#8217;s industry classifications refer to any one</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or more of the industry sub-classifications used by one or more widely recognized</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market indexes or rating group indexes, and/or as defined by Fund management.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These definitions may not apply for purposes of this report, which may combine</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>such industry sub-classifications for reporting ease.</FONT><BR><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts as of April 30, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="6%"></TD>

   <TD width="15%"></TD>

   <TD width="7%"></TD>

   <TD width="15%"></TD>

   <TD width="20%"></TD>

   <TD width="15%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Currency</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Settlement</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Purchased</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Sold</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Depreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,493,817</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CAD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,345,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BNP Paribas SA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/07/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (91,423)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,196,323</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CHF</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,099,500</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/07/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(75,299)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13,115,303</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,031,500</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deutsche</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/07/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(288,738)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>668,551</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>408,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Royal Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Scotland Plc</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/07/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(12,374)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62,410,712</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>EUR&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42,933,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>UBS AG</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7/27/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,027,233)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (1,495,067)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif><BR>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fair Value Measurements &#8212; Various inputs are used in determining the fair value of</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments and derivative financial instruments. These inputs are summarized in</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>three broad levels for financial statement purposes as follows:</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 1 &#8212; price quotations in active markets/exchanges for identical assets</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and liabilities</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 2 &#8212; other observable inputs (including, but not limited to: quoted prices for</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>similar assets or liabilities in markets that are active, quoted prices for identical</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or similar assets or liabilities in markets that are not active, inputs other than</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quoted prices that are observable for the assets or liabilities (such as interest</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>default rates) or other market-corroborated inputs)</FONT><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Level 3 &#8212; unobservable inputs based on the best information available in the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>circumstances, to the extent observable inputs are not available (including the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#8217;s own assumptions used in determining the fair value of investments and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>derivative financial instruments)<BR></FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The inputs or methodologies used for valuing securities are not necessarily an</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>indication of the risk associated with investing in those securities. For information</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>about the Fund&#8217;s policy regarding valuation of investments and derivative financial</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>instruments and other significant accounting policies, please refer to Note 1 of the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Notes to Financial Statements.</FONT></P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 29px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>45</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Floating Rate Income Trust (BGT)<BR></FONT></STRONG>Schedule of Investments (continued) <BR></FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following tables summarize the inputs used as of April 30, 2011 in determining</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the fair valuation of the Fund&#8217;s investments and derivative financial instruments:</FONT></P>

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<TR>

   <TD width="21%"></TD>

   <TD width="18%"></TD>

   <TD width="20%"></TD>

   <TD width="19%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Long-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset-Back</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,127,544</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,134,421</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11,261,965</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Stocks</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 180,455</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,121,920</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>738,695</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,041,070</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Corporate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bonds</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>74,550,837</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,503,828</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>78,054,665</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rate Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interests</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>358,301,963</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45,140,912</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>403,442,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign Agency</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Obligations</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,393,471</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,315,066</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,708,537</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interests</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,165,690</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,165,690</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Warrants</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,174</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>227</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,401</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Short-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,289,208</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,289,208</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitments</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,001</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,001</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitments</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(37,048)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,470)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(38,518)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,469,663</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$440,510,862</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 64,997,369</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$509,977,894</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="24%"></TD>

   <TD width="19%"></TD>

   <TD width="23%"></TD>

   <TD width="13%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="99%" colSpan=5 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Derivative Financial Instruments</FONT></B><B><SUP><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>1</FONT></SUP></B></TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="24%" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Valuation Inputs</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="19%" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="23%" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="13%" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Level 3</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 1px" width="20%" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities:</FONT></B>&nbsp;</TD>

   <TD width="19%" align=left>&nbsp;</TD>

   <TD width="23%" align=left>&nbsp;</TD>

   <TD width="13%" align=left>&nbsp;</TD>

   <TD width="20%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign</FONT>&nbsp;</TD>

   <TD width="19%" align=left>&nbsp;</TD>

   <TD width="23%" align=left>&nbsp;</TD>

   <TD width="13%" align=left>&nbsp;</TD>

   <TD width="20%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" width="24%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency</FONT>&nbsp;</TD>

   <TD width="19%" align=left>&nbsp;</TD>

   <TD width="23%" align=left>&nbsp;</TD>

   <TD width="13%" align=left>&nbsp;</TD>

   <TD width="20%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" width="24%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange</FONT>&nbsp;</TD>

   <TD width="19%" align=left>&nbsp;</TD>

   <TD width="23%" align=left>&nbsp;</TD>

   <TD width="13%" align=left>&nbsp;</TD>

   <TD width="20%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" width="24%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 7px" width="19%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="23%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (1,495,067)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="13%" align=left>&nbsp;<FONT color=#231f20 size=1 face=Arial>&#8212;</FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="20%" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (1,495,067)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Derivative financial instruments are foreign currency exchange contracts and</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>options. Foreign currency exchange contracts are shown at the unrealized</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>appreciation/depreciation on the instrument and options are shown at value.</FONT></P>

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   <TD width="34%"></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>46</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<!--$$/page=--><A name="page_48"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif><STRONG><FONT size=2>BlackRock Floating Rate Income Trust (BGT)<BR></FONT></STRONG>Schedule of Investments (concluded) <BR></FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following tables are a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:</FONT></P>

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<TR>

   <TD width="13%"></TD>

   <TD width="9%"></TD>

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   <TD width="8%"></TD>

   <TD width="9%"></TD>

   <TD width="7%"></TD>

   <TD width="8%"></TD>

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   <TD width="7%"></TD>

   <TD width="7%"></TD>

   <TD width="4%"></TD>

   <TD width="9%"></TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Foreign</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset-Backed&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common&nbsp;&nbsp;</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Corporate</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate Loan</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Agency</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Other</FONT></B>&nbsp;</TD>

   <TD colSpan=3 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>&nbsp;&nbsp;&nbsp;&nbsp; Preferred&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commitments&nbsp;&nbsp;&nbsp; Commitments</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Stocks</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Bonds</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interests</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Obligations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Interests</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Securities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warrants&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets/Liabilities:</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance as of</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>October 31, 2010</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 595,520</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 61,912</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$64,699,477&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$ 4,228,067</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,533,239</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 85,828</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 160,394</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 227</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 75,364,664</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>premiums</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 25,883</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>101,940</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>194,272</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>105,249</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>427,344</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(153,348)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,019,809)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,389,264)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,982,049</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>136,990</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,443,382)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Change in unrealized</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>appreciation/</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>depreciation</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(61,912)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>592,392</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,155,437</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,299,025</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(18,250)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(539,552)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(31,032)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(160,394)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (1,470)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,234,244</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,613,650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,334,116</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,737,671</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,479</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,701,916</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sales</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(452,581)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(129,768)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(27,996,629)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,826,525)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(191,786)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(31,597,289)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfer In</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>556,800</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>156,712</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,598,512</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,312,024</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfer Out</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(22,002,152)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(22,002,152)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance as of</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>April 30, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$7,134,421</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 738,695</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$3,503,828</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$45,140,912&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ 4,315,066&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ 4,165,690</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (1,470)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 227</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 64,997,369</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>still held at April 30, 2011 was $1,246,867.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund&#8217;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></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following table is a reconciliation of Level 3 derivative financial instruments for</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which significant unobservable inputs were used to determine fair value:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="73%"></TD>

   <TD width="26%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit Contracts</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Balance, as of October 31, 2010</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19,172</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accrued discounts/premiums</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Issuances</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Sales</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Settlements</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(19,172)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers in</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfers out</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Balance, as of April 30, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Issuances represent upfront cash received on certain derivative financial</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>instruments.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Settlements represent periodic contractual cash flows and/or cash flows to</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>terminate certain derivative financial instruments.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Fund&#8217;s policy is to recognize transfers in and transfers out as of the</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>beginning of the period of the event or the change in circumstances that</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>caused the transfer.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A reconciliation of Level 3 investments and derivatives is presented when the Fund</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>had a significant amount of Level 3 investments and derivatives at the beginning</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and/or end of the period in relation to net assets.</FONT></P>

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   <TD width="11%"></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 29px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>47</FONT>&nbsp;</TD></TR></TABLE></DIV>

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   <TD align=left><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Assets and Liabilities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating</FONT></B>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Allocation</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Allocation</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Allocation</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Allocation</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trust I, Inc.</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trust II, Inc.</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trust III</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trust IV</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trust</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>April 30, 2011 (Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(PSW)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(PSY)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BPP)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BTZ)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BGT)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at value &#8212; unaffiliated</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 146,292,491</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 617,529,973</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 277,418,251</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 927,774,168</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 505,724,203</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at value &#8212; affiliated</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>183,531</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,023,400</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,547,481</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,289,208</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized appreciation on swaps</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,854</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,718</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30,192</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>105,041</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized appreciation on unfunded loan commitments</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,001</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized appreciation on foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,307</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency at value</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>427</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>532</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,166,169</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash pledged as collateral for swaps</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,599,943</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash pledged as collateral for financial futures contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>370,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,464,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>340,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,070,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,203,035</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,738,952</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,095,153</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,158,949</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,319,026</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments sold receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>637,270</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,426,382</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,122,322</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,846,123</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,722,327</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>168,276</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,676</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>308,616</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>166,473</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,623</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,412</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,603</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>552,697</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,704</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Options written receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,360</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>914,040</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swap premiums paid</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>135,616</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commitment fees receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,596</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Prepaid expenses</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,086</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,009</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,632</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>99,977</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>130,609</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other assets</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>122,779</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56,614</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>137,046</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>107,640</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total assets</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>149,883,593</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>635,447,608</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>286,107,372</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>953,425,006</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>536,471,483</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liabilities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reverse repurchase agreements</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,802,596</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>154,459,791</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>53,379,280</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200,550,720</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Loan payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>157,000,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Options written at value</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>153,823</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>656,759</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>892,581</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,071,731</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on unfunded loan commitments</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,518</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,495,067</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on swaps</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>120,145</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>506,560</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>250,073</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>840,664</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Bank overdraft</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,290,593</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>111,208</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>197,668</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swap premiums received</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>172,223</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>736,849</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,030</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>84,749</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments purchased payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>120,988</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,526,058</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>181,364</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>610,327</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,675,927</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment advisory fees payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>73,483</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>310,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>151,862</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>507,395</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>272,790</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Margin variation payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,219</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>147,048</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,351</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>102,281</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Income dividends payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,419</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>129,505</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,214</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>283,683</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest expense payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,196</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>112,722</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,790</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>117,527</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121,459</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,205</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>96,666</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,122</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>162,600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officer&#8217;s and Directors&#8217; fees payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>89,361</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>57,183</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>145,251</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>111,479</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other affiliates payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,788</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deferred income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>175,075</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other accrued expenses payable</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,093</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>97,712</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>102,090</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>236,310</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total liabilities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,567,590</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>161,062,012</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55,199,350</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>206,690,226</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>187,324,293</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 111,316,003</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 474,385,596</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 230,908,022</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 746,734,780</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 349,147,190</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets Consist of</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Paid-in capital</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,6,7</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 236,754,281</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 937,350,272</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 422,218,171</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,123,084,063</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 428,397,626</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Undistributed (distributions in excess of) net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>297,823</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>675,221</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>240,381</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(550,386)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,873,237</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accumulated net realized loss</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(131,451,449)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(483,443,229)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(199,693,618)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(399,369,686)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(96,669,997)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized appreciation/depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,715,348</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,803,332</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,143,088</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,570,789</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,546,324</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 111,316,003</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 474,385,596</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 230,908,022</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 746,734,780</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 349,147,190</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.79</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11.63</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.50</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.41</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.79</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at cost &#8212; unaffiliated</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 140,296,266</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 596,218,531</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 269,117,350</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 903,717,139</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 494,212,128</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at cost &#8212; affiliated</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 183,531</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,023,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,547,481</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,289,208</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency at cost</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 413</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 459</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 43</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,140,480</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Premiums received</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 255,600</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,087,200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,110,600</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,805,700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Shares par value per share</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 0.10</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 0.10</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 0.001</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 0.001</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 0.001</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Shares outstanding</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,311,941</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40,807,418</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,467,785</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51,828,157</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,603,223</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Shares authorized</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>199,994,540</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>199,978,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unlimited</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unlimited</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unlimited</FONT>&nbsp;</TD></TR></TABLE></DIV>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>48</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

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   <TD align=left><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Operations</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Allocation</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Allocation</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Allocation</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Allocation</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trust I, Inc.</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trust II, Inc.</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trust III</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trust IV</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trust</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended April 30, 2011 (Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(PSW)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double; TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(PSY)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double; TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BPP)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double; TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BTZ)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double; TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BGT)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Income</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,810,133</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 16,552,308</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,228,830</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 24,109,606</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14,406,696</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends &#8212; unaffiliated</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>141,392</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150,707</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,255</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>931,620</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Income &#8212; affiliated</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,655</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,501</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,230</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,430</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,675</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign taxes withheld</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,331)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,814)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,813)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,558)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Facility and other fees</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>257,180</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,951,849</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,703,702</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,251,502</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,057,098</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,672,551</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expenses</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investment advisory</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>415,013</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,836,317</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>879,467</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,945,801</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,733,011</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Professional</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35,608</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>139,117</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>43,204</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>134,308</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>172,509</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Transfer agent</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,811</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47,970</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,043</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,041</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,476</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Accounting services</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,289</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,336</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>27,491</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>58,134</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29,001</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Custodian</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,093</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18,012</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,807</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,827</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>77,110</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Printing</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,782</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,257</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,617</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>73,036</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,706</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Officer and Directors</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,746</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,109</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,874</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,905</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,275</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Registration</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,691</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,972</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,908</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,399</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,766</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commissions for Preferred Shares</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,942</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,109</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,299</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26,813</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,139</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrowing costs</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>176,322</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Miscellaneous</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,066</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,254</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,542</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,416</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,749</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses excluding interest expense</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>526,041</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,199,453</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,048,252</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,361,680</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,302,064</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest expense</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42,365</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>144,983</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>56,169</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>158,730</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>610,537</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>568,406</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,344,436</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,104,421</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,520,410</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,912,601</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Less fees waived by advisor</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(647)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,820)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,875)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9,161)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(232,918)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>567,759</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,341,616</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,101,546</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,511,249</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,679,683</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,384,090</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,362,086</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,149,956</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21,545,849</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,992,868</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Realized and Unrealized Gain (Loss)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss) from:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>906,682</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,429,985</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>922,503</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,417,614</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,510,459</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(52,177)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(48,097)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(122,670)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(635,711)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,489</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>151,887</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>92,590</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>369,357</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,581</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency transactions</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>73</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>128</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,593,007)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>892,067</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,533,903</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>892,423</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,151,260</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,080,967)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation on:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(283,666)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>959,182</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,123,909</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,986,997)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13,307,760</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(273,121)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,401,049)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(116,626)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(712,327)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(112,291)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(471,842)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(219,881)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(735,623)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(19,172)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency transactions</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(19)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,045,018</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Options written</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>101,777</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>430,441</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>218,019</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>733,969</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded loan commitments</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(153,204)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(567,320)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(483,265)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,005,453</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,700,976)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,180,402</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total realized and unrealized gain (loss)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>324,747</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,050,638</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,897,876</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,549,716)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,099,435</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Dividends to Preferred Shareholders From</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(61,138)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(504,314)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(23,469)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(646,135)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(90,614)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Increase in Net Assets Resulting from Operations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,647,699</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14,908,410</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8,024,363</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19,349,998</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 22,001,689</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Note 8 of the Notes to the Financial Statements for details of short-term borrowings.</FONT></P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 29px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>49</FONT>&nbsp;</TD></TR></TABLE></DIV>

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   <TD align=left><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Changes in Net Assets</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income Trust I, Inc. (PSW)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income Trust II, Inc. (PSY)</FONT></B>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>April 30,</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>April 30,</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>October 31,</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>October 31,</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Increase (Decrease) in Net Assets Applicable to Common Shareholders:</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Operations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,384,090</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,504,548</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14,362,086</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 29,526,710</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>892,067</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,995,338)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,533,903</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(33,383,348)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(567,320)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>20,132,597</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(483,265)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>104,507,204</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends to Preferred Shareholders from net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(61,138)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(611,907)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(504,314)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,578,803)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase in net assets resulting from operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,647,699</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,029,900</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,908,410</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98,071,763</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Dividends and Distributions to Common Shareholders From</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,139,986)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,360,087)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(13,507,256)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(29,029,600)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax return of capital</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(909,831)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5,350,650)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in net assets resulting from dividends and distributions</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to shareholders</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,139,986)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,269,918)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(13,507,256)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(34,380,250)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=middle><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total increase in net assets</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>507,713</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,759,982</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,401,154</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>63,691,513</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>110,808,290</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>96,048,308</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>472,984,442</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>409,292,929</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>End of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 111,316,003</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 110,808,290</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 474,385,596</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 472,984,442</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Undistributed net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 297,823</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 114,857</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 675,221</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 324,705</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>50</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

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   <TD align=left><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Changes in Net Assets (continued)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 6px" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income Trust III (BPP)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 6px" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income Trust IV (BTZ)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>April 30,</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>April 30,</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>October 31,</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>October 31,</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Increase (Decrease) in Net Assets Applicable to Common Shareholders:</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Operations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,149,956</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 13,514,214</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 21,545,849</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 44,282,613</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>892,423</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(12,773,618)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,151,260</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>712,631</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,005,453</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,939,765</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,700,976)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>109,629,309</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends to Preferred Shareholders from net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(23,469)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(202,609)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(646,135)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,511,929)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase in net assets resulting from operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,024,363</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40,477,752</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,349,998</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>151,112,624</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Dividends and Distributions to Common Shareholders From</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,214,410)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(14,081,286)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21,975,138)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(41,824,719)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax return of capital</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,431,653)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(14,927,112)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in net assets resulting from dividends and distributions</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to shareholders</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,214,410)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(15,512,939)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21,975,138)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(56,751,831)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total increase (decrease) in net assets</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,809,953</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,964,813</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,625,140)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>94,360,793</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>229,098,069</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>204,133,256</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>749,359,920</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>654,999,127</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>End of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 230,908,022</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 229,098,069</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 746,734,780</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 749,359,920</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Undistributed (distributions in excess of) net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 240,381</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 328,304</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (550,386)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 525,038</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<TR>

   <TD width="51%"></TD>

   <TD width="37%"></TD>

   <TD width="11%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 29px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>51</FONT>&nbsp;</TD></TR></TABLE></DIV>

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   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Changes in Net Assets (concluded)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating Rate Income Trust (BGT)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>April 30,</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>October 31,</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Increase (Decrease) in Net Assets Applicable to Common Shareholders:</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Operations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11,992,868</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 22,931,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized loss</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,080,967)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(7,990,225)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,180,402</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33,559,226</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends to Preferred Shareholders from net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(90,614)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(893,902)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase in net assets applicable resulting from operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22,001,689</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47,606,849</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Dividends to Shareholders From</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(14,673,950)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(19,496,826)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital Share Transactions</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Reinvestment of common dividends</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>383,316</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>453,913</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Assets</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total increase in net assets</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,711,055</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>28,563,936</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>341,436,135</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>312,872,199</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>End of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 349,147,190</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 341,436,135</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Undistributed net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,873,237</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10,644,933</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<TR>

   <TD width="13%"></TD>

   <TD width="51%"></TD>

   <TD width="34%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>52</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

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   <TD width="55%"></TD>

   <TD width="11%"></TD>

   <TD width="11%"></TD>

   <TD width="11%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Statements of Cash Flows</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Credit</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Floating</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Allocation</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Allocation</FONT></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Allocation</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Rate</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trust I, Inc.</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trust II, Inc.</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trust III</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Trust</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended April 30, 2011 (Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(PSW)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(PSY)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BPP)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(BGT)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cash Provided by/Used for Operating Activities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase in net assets resulting from operations, excluding dividends to Preferred Shareholders</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,708,837</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 15,412,724</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8,047,832</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 22,092,303</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Adjustments to reconcile net increase in net assets resulting from operations to net cash</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>provided by operating activities:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Increase) in interest receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(92,565)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(526,847)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(378,757)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(78,130)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Increase) decrease in swap receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(168,276)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(32,403)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(308,616)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,730</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Increase) decrease in other assets</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>167,003</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,223,544</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,210)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>239,458</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in commitment fees receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,186</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in dividends receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,623)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(17,412)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(14)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in margin variation receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,063</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,375</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,625</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in reverse repurchase agreements receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,015,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(Increase) decrease in dividend receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>283</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(8,395)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in cash pledged as collateral for financial futures contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(320,000)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,404,000)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(300,000)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in cash pledged as collateral for swaps</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in deferred income payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21,279)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase (decrease) in investment advisory fees payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,213)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(24,496)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,823)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36,985</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in interest expense and fees payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,085</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>112,695</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,790</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>57,258</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in other affiliates payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(968)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4,048)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(68)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,636)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Decrease in other accrued expenses payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(21,595)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(54,739)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(324)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(85,313)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in margin variation payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,219</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>147,048</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,351</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in swaps payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,205</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>96,666</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50,122</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase in Officer's and Directors' fees payable</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>940</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3,114</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,100</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,221</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net periodic and termination payments of swaps</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>208,225</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>890,170</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(166,634)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized loss on investments</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(634,270)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2,462,152)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,989,922)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(18,692,502)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amortization of premium and accretion of discount on investments</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>110,650</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>532,666</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>224,788</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1,833,537)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Premiums received from options written</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>255,600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,087,200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,101,240</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Proceeds from sales of long-term investments</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>52,172,009</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>211,826,953</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>82,637,861</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>255,942,556</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases of long-term investments</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(49,422,039)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(196,912,390)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(98,590,554)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(305,388,975)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net proceeds from sales (purchases) of short-term securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,700,567</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(539,833)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32,919,046</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,481,303</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash provided by/used for operating activities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,743,854</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31,384,118</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,304,452</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(43,137,386)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cash Provided by/Used for Financing Activities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash payments on Preferred Shares</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(40,250,000)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(169,025,000)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(70,425,000)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(58,800,000)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash receipts from borrowings</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>44,151,589</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>224,318,191</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>79,227,024</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>264,000,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash payments on borrowings</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(12,431,493)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(73,868,400)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(25,847,744)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(145,000,000)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash dividends paid</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3,144,663)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(13,528,726)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6,232,919)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(14,290,634)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash dividends paid to Preferred Shareholders</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(70,242)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(570,776)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(25,813)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(102,862)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Increase (decrease) in custodian bank payable</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,290,593</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(526,912)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash provided by/used for financing activities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,744,809)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(31,384,118)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(23,304,452)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45,279,592</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cash Impact from Foreign Exchange Fluctuations</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash impact from foreign exchange fluctuations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(19)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>23,963</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cash</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) in cash</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(974)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,166,169</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash and foreign currency at beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,401</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash and foreign currency at end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 427</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 532</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,166,169</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Cash Flow Information</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Cash paid during the period for interest</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 17,280</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 32,288</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 17,379</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 553,279</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Noncash Financing Activities</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital shares issued in reinvestment of dividends paid to shareholders</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 383,316</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif><BR>A Statement of Cash Flows is presented when a Fund had a significant amount of borrowing during the period, based on the average borrowing outstanding in relation to average</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>total assets.</FONT></P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 29px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>53</FONT>&nbsp;</TD></TR></TABLE></DIV>

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   <TD align=left><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=5 align=right><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>April 30, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended October 31,</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2006</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share Operating Performance</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.75</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.31</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.43</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.54</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 22.25</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 22.36</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.33</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.63</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.86</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.70</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.01</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.14</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.02</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.58</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.06</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(12.06)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2.41)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.07</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends to Preferred Shareholders from net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.01)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.06)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.08)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.48)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.71)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.63)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.34</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.15</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.84</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10.84)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.11)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.58</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends and distributions to Common Shareholders from:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.30)</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.62)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.83)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.22)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.18)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.69)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax return of capital</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.09)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.13)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.05)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.42)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total dividends and distributions</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.30)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.71)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.96)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.27)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.60)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.69)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.79</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.75</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.31</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.43</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.54</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 22.25</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market price, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.28</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.67</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.24</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.00</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 17.29</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 21.26</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>3</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on net asset value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.73%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24.77%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46.46%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(58.09)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5.03)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.97%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on market price</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.82)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26.81%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37.59%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(55.38)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(12.05)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.69%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets Applicable to Common Shareholders</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.05%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.16%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.61%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.00%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.32%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.29%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.05%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.14%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.59%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.00%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.32%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.29%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and excluding interest expense</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.97%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.13%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.44%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.48%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.29%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.29%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.25%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.28%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.45%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.79%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.38%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.70%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends to Preferred Shareholders</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.11%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.59%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.09%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.03%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.29%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.84%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income to Common Shareholders</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.13%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.69%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11.36%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.76%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.09%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.86%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net assets applicable to Common Shareholders, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 111,316</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 110,808</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 96,048</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 76,430</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 201,155</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 228,734</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Preferred Shares outstanding at $25,000 liquidation preference,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 40,250</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 40,250</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 68,250</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 136,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 136,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrowings outstanding, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 37,803</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,083</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,972</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,024</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 590</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average borrowings outstanding, during the period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 21,772</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,269</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,321</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 25,692</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,690</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio turnover</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>66%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>119%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>88%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage per Preferred Share at $25,000 liquidation preference,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 93,831</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 84,663</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 53,009</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 61,846</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 66,907</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage, end of period per $1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,945</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A portion of the dividends from net investment income may be deemed a tax return of capital or net realized gain at fiscal year end.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate total investment return.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes proceeds from a settlement of litigation which impacted the Fund. Not including these proceeds the Fund&#8217;s total return would have been 24.54%.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Do not reflect the effect of dividends to Preferred Shareholders.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT><BR><BR><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>54 SEMI-ANNUAL REPORT APRIL 30, 2011</FONT></P>

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   <TD align=left><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>

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   <TD colSpan=5 align=right><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></B>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>

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   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>

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   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>April 30, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended October 31,</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2006</FONT></B>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share Operating Performance</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11.59</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.03</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.96</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.93</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 22.36</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 22.26</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.72</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.73</FONT>&nbsp;</TD>

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   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.02</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.03</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.03</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.74</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.17</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11.84)</FONT>&nbsp;</TD>

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   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2.35)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.32</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends to Preferred Shareholders from net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.01)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.06)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.09)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.49)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.73)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.65)</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.37</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.40</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.19</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10.60)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.06)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.70</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends and distributions to Common Shareholders from:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.33)</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.71)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.12)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.15)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.16)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.51)</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax return of capital</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.13)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 6px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.00)</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.22)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.21)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.09)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total dividends and distributions</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.33)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.84)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.12)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.37)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.37)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.60)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11.63</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11.59</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.03</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7.96</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.93</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 22.36</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market price, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.08</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.39</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.90</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.10</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 16.94</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 20.12</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on net asset value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.73%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25.70%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>48.36%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(55.71)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.35)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.77%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on market price</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.29%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26.99%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29.37%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(46.97)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9.65)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.77%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets Applicable to Common Shareholders</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.01%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.04%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.41%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.90%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.27%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.23%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.01%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.03%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.41%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.90%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.27%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.23%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly and</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>excluding interest expense</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.95%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.02%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.33%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.40%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.23%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.23%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.21%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.66%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15.05%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.71%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.29%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.26%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends to Preferred Shareholders</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.22%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.58%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.19%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.04%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.34%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.96%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income to Common Shareholders</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.99%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.08%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13.86%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.67%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.95%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.30%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net assets applicable to Common Shareholders, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 474,386</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 472,984</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 409,293</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 323,132</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 809,411</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 907,897</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Preferred Shares outstanding at $25,000 liquidation preference,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 169,025</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 169,025</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 275,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 550,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 550,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrowings outstanding, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 154,160</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,020</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9,511</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 54,369</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average borrowings outstanding, during the period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 84,960</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 13,407</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 15,842</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 94,908</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14,375</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio turnover</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>33%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>73%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>120%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>81%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>18%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage per Preferred Share at $25,000 liquidation preference,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 94,968</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 85,547</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 54,408</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 61,817</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 66,294</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage, end of period per $1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,071</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A portion of the dividends from net investment income may be deemed a tax return of capital or net realized gain at fiscal year end.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amount is less than $(0.01) per share.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate total investment return.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Includes proceeds from a settlement of litigation which impacted the Fund. Not including these proceeds the Fund&#8217;s total return would have been 25.37%.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Do not reflect the effect of dividends to Preferred Shareholders.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT></P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

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   <TD style="TEXT-INDENT: 29px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>55</FONT>&nbsp;</TD></TR></TABLE></DIV>

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   <TD align=left><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD colSpan=5 align=right><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation Income Trust III (BPP)</FONT></B>&nbsp;</TD></TR>

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   <TD align=middle><STRONG><FONT color=#231f20 size=1 face=Arial>Six Months</FONT></STRONG>&nbsp;</TD>

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   <TD align=middle><STRONG><FONT color=#231f20 size=1 face=Arial>Period</FONT></STRONG>&nbsp;</TD>

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   <TD align=middle><STRONG><FONT color=#231f20 size=1 face=Arial>Ended</FONT></STRONG>&nbsp;</TD>

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   <TD align=middle><STRONG><FONT color=#231f20 size=1 face=Arial>January 1,</FONT></STRONG>&nbsp;</TD>

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   <TD align=middle>&nbsp;<STRONG><FONT color=#231f20 size=1 face=Arial>April 30,</FONT></STRONG>&nbsp;</TD>

   <TD colSpan=2 align=right>&nbsp;</TD>

   <TD align=middle>&nbsp;<STRONG><FONT color=#231f20 size=1 face=Arial>2008 to</FONT></STRONG>&nbsp;</TD>

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   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><STRONG><FONT color=#231f20 size=1 face=Arial>Year Ended October 31,</FONT></STRONG></TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>October 31,</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=middle><STRONG><FONT color=#231f20 size=1 face=Arial>Year Ended December 31,</FONT></STRONG></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2006</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2005</FONT></B>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share Operating Performance</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.41</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11.05</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.77</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.47</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 24.52</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 24.43</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 25.88</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.33</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.73</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.09</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.48</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.05</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.05</FONT>&nbsp;</TD>

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   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.11</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.48</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.40</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10.74)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.72)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.62</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.82)</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends and distributions to Preferred Shareholders from:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD align=left>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.00)</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.01)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.03)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.31)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.62)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.46)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.26)</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.12)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.13)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.43</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.20</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.46</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9.57)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(3.29)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.09</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.90</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends and distributions to Common Shareholders from:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.34)</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.76)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.95)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.83)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.59)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.58)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.74)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.02)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.42)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.61)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax return of capital</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.08)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.23)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.30)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.15)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total dividends and distributions</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.34)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.84)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.18)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.13)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.76)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2.00)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(2.35)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.50</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.41</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11.05</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.77</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.47</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 24.52</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 24.43</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market price, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.74</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11.23</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.94</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 8.51</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 17.31</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 26.31</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 24.20</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on net asset value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.95%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21.52%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>47.16%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(51.22)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(13.86)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.89%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.81%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on market price</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.30)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22.25%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>36.42%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(46.76)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(28.62)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17.98%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.83%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets Applicable to Common Shareholders</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.99%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.09%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.66%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.96%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.46%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.62%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.51%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.98%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.08%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.64%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.96%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.45%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.62%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.51%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and excluding interest expense</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.93%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.07%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.39%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.39%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.24%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.25%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.22%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.49%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.31%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>13.08%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.53%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.90%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.46%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.37%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends to Preferred Shareholders</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.02%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.10%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.19%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.70%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.89%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.27%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income to Common Shareholders</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.47%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.21%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.70%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.34%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.20%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.58%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.10%</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net assets applicable to Common Shareholders,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 230,908</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 229,098</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 204,133</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 161,311</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 358,017</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 449,995</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 447,190</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Preferred Shares outstanding at $25,000 liquidation</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>preference, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 70,425</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 70,425</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 110,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 220,800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 220,800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 220,800</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrowings outstanding, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 53,379</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 13,235</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 44,281</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average borrowings outstanding, during the period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 40,235</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,121</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 16,330</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 51,995</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 903</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,303</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,904</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio turnover</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>32%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>67%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>121%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>97%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>91%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>77%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage per Preferred Share at $25,000 liquidation</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>preference, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 106,328</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 97,465</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 61,540</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 65,554</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 75,965</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 75,642</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage, end of period per $1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 5,326</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amount is less than $(0.01) per share.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A portion of the dividends from net investment income may be deemed a tax return of capital or net realized gain at fiscal year end.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate total investment return.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Do not reflect the effect of dividends to Preferred Shareholders.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT></P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>56</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

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   <TD align=left><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>

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   <TD colSpan=4 align=right><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></B>&nbsp;</TD></TR>

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   <TD align=middle><STRONG><FONT color=#231f20 size=1 face=Arial>Six Months</FONT></STRONG>&nbsp;&nbsp;</TD>

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   <TD align=middle><STRONG><FONT color=#231f20 size=1 face=Arial>Period</FONT></STRONG>&nbsp;</TD></TR>

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   <TD align=middle><STRONG><FONT color=#231f20 size=1 face=Arial>Ended</FONT></STRONG></TD>

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   <TD align=middle><STRONG><FONT color=#231f20 size=1 face=Arial>December 27,</FONT></STRONG>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;<STRONG><FONT color=#231f20 size=1 face=Arial>April 30,</FONT></STRONG>&nbsp;</TD>

   <TD colSpan=3 align=middle></TD>

   <TD align=middle>&nbsp;<STRONG><FONT size=1><FONT color=#231f20 face=Arial>2006<SUP>1 </SUP>to</FONT></FONT></STRONG>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=middle><STRONG><FONT color=#231f20 size=1 face=Arial>Year Ended October 31,</FONT></STRONG>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>October 31,</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share Operating Performance</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.46</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.64</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.59</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 21.39</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 23.88</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.42</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.85</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.99</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.33</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.25</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.04)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.54</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10.06)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.86)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends to Preferred Shareholders from net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.01)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.07)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.07)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.33)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.31)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.37</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.92</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.46</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(9.06)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.92)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends and distributions to Common Shareholders from:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.42)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.81)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.93)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.90)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.93)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax return of capital</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.29)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.48)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.84)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.47)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total dividends and distributions</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.42)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.10)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.41)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.74)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.40)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Capital charge with respect to issuance of:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Shares</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.04)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Preferred Shares</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.13)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total capital charges</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.17)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.41</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.46</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.64</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.59</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 21.39</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market price, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.36</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 13.02</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10.96</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.36</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18.65</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>4</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on net asset value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.15%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25.16%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41.06%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(44.27)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(4.42)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on market price</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.74)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>29.98%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38.38%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(43.51)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(20.34)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets Applicable to Common Shareholders</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.97%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.12%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.60%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.65%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.90%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.96%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.11%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.58%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.65%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.88%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly and excluding interest expense</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.92%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.07%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.24%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.21%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.04%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.91%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.33%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.93%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.63%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.50%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends to Preferred Shareholders</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.18%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.50%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.74%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.89%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.64%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income to Common Shareholders</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.73%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.83%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9.19%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5.74%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4.86%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT></SUP>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net assets applicable to Common Shareholders, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 746,735</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 749,360</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 654,999</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 548,612</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,108,534</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Preferred Shares outstanding at $25,000 liquidation preference, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 231,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 231,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 231,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 462,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrowings outstanding, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 200,551</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 61,576</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 223,512</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 88,291</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average borrowings outstanding, during the period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 113,922</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 63,660</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 76,521</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 107,377</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 96,468</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio turnover</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>64%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>30%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>126%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>35%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage per Preferred Share at $25,000 liquidation preference, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 106,104</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 95,892</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 84,384</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 89,737</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage, end of period per $1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,723</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Commencement of operations.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period, reflects a deduction of $1.12 per share sales charge from initial offering price of $25.00 per share.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate total investment return.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Do not reflect the effect of dividends to Preferred Shareholders.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT></P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

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   <TD style="TEXT-INDENT: 29px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>57</FONT>&nbsp;</TD></TR></TABLE></DIV>

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   <TD align=left><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Financial Highlights</FONT>&nbsp;</TD>

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   <TD colSpan=5 align=right><B><FONT color=#394c87 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BlackRock Floating Rate Income Trust (BGT)</FONT></B>&nbsp;</TD></TR>

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   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>

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   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Period</FONT></B>&nbsp;</TD>

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   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>

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   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>January 1,</FONT></B>&nbsp;</TD>

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   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>April 30,</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008 to</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=middle><STRONG><FONT color=#231f20 size=1 face=Arial>Year Ended October 31,</FONT></STRONG>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>October 31,</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=middle><STRONG><FONT color=#231f20 size=1 face=Arial>Year Ended December 31,</FONT></STRONG>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Unaudited)</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2009</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2008</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2007</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2006</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2005</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share Operating Performance</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.48</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 13.29</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11.24</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 17.71</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.21</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.50</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.97</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.98</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.42</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.03</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.99</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.64</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.43</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.09</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.72</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(6.62)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.39)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.06)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.17)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends and distributions to Preferred Shareholders from:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.00)</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.04)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.04)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.24)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.54)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.48)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.33)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.01)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.00)</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.93</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.02</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3.66</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(5.44)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.10</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.44</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.14</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends and distributions to Common Shareholders from:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.62)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.83)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.19)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.03)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.14)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.44)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.22)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net realized gain</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.02)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.00)</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT></SUP>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Tax return of capital</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.42)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.36)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total dividends and distributions</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.62)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(0.83)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.61)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.03)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.50)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.46)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.22)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net asset value, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.79</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.48</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 13.29</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 11.24</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 17.71</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.13</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Market price, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 15.65</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14.52</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 12.58</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 9.63</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 15.78</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19.27</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 17.16</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Investment Return</FONT></B><B><SUP><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>3</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on net asset value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.49%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15.55%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39.51%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(31.62)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.98%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.93%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.63%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on market price</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12.37%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>22.41%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>54.14%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(34.24)%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(10.92)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>21.31%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(1.34)%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef colSpan=2 align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ratios to Average Net Assets Applicable to Common Shareholders</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.70%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.43%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.96%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.22%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.67%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.75%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.56%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.56%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.25%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.68%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.89%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.33%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.43%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.23%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total expenses after fees waived and paid indirectly</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and excluding interest expense</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.21%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.15%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.24%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.21%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.16%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.19%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.15%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.99%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.01%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.92%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.56%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.83%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10.38%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.52%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends to Preferred Shareholders</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.05%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.27%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.75%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.88%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2.51%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.71%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net investment income to Common Shareholders</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.94%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.74%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.54%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8.81%</FONT><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.95%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7.87%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6.81%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" bgColor=#e3e3ef align=left><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Supplemental Data</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" bgColor=#e3e3ef align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net assets applicable to Common Shareholders,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 349,146</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 341,436</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 312,872</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 264,590</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 417,086</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 449,065</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 449,219</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Preferred Shares outstanding at $25,000 liquidation</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>preference, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 58,800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 58,800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 58,800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 243,450</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 243,450</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 243,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Borrowings outstanding, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 157,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 38,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 14,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 123,150</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 26,108</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average borrowings outstanding, during the period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 96,174</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 24,321</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 53,156</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 71,780</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10,524</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 19,562</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10,722</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Portfolio turnover</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>54%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>87%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>42%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>41%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>50%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage per Preferred Share at $25,000</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>liquidation preference, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 170,174</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 158,029</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 137,505</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 67,849</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 73,810</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 71,139</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Asset coverage, end of period per $1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,224</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Based on average shares outstanding.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Amount is less than $(0.01) per share.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Aggregate total investment return.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Do not reflect the effect of dividends to Preferred Shareholders.</FONT><BR><SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6 </FONT></SUP><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Annualized.</FONT></P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>See Notes to Financial Statements.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>58</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements </FONT><FONT color=#394c87 size=2 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>(Unaudited)</FONT><BR><BR><STRONG><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>1. Organization and Significant Accounting Policies:</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Credit Allocation Income Trust I, Inc. (&#8220;PSW&#8221;) and BlackRock</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit Allocation Income Trust II, Inc. (&#8220;PSY&#8221;) are registered as diversified,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closed-end management investment companies under the Investment</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Company Act of 1940, as amended (the &#8220;1940 Act&#8221;). BlackRock Credit</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Allocation Income Trust III (&#8220;BPP&#8221;), BlackRock Credit Allocation Income Trust</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>IV (&#8220;BTZ&#8221;) and BlackRock Floating Rate Income Trust (&#8220;BGT&#8221;) are registered</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as non-diversified, closed-end management investment companies under</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the 1940 Act. PSW and PSY are organized as Maryland corporations. BPP,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BTZ and BGT are organized as Delaware statutory trusts. PSW, PSY, BPP, BTZ</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and BGT are collectively referred to as the &#8220;Funds&#8221; or individually as the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8220;Fund.&#8221; The Funds&#8217; financial statements are prepared in conformity with</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>accounting principles generally accepted in the United States of America</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(&#8220;US GAAP&#8221;), which may require management to make estimates and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assumptions that affect the reported amounts and disclosure in the finan-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cial statements. Actual results could differ from these estimates. The Board</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Directors and Board of Trustees of the Funds, as applicable, are referred</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to throughout this report as the &#8220;Board of Directors&#8221; or the &#8220;Board.&#8221; The</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds determine and make available for publication the net asset values</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of their Common Shares on a daily basis.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The following is a summary of significant accounting policies followed by</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Funds:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif><STRONG>Valuation:</STRONG> </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>US GAAP defines fair value as the price the Funds would receive</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to sell an asset or pay to transfer a liability in an orderly transaction</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between market participants at the measurement date. The Funds fair value</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>their financial instruments at market value using independent dealers or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pricing services under policies approved by the Board. Floating rate</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan interests are valued at the mean of the bid prices from one or more</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>brokers or dealers as obtained from a pricing service. In determining the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value of a particular investment, pricing services may use certain informa-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion with respect to transactions in such investments, quotations from</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>dealers, pricing matrixes, market transactions in comparable investments,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>various relationships observed in the market between investments and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>calculated yield measures. Financial futures contracts traded on exchanges</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are valued at their last sale price. Swap agreements are valued utilizing</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quotes received daily by the Funds&#8217; pricing service or through brokers,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which are derived using daily swap curves and models that incorporate a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>number of market data factors, such as discounted cash flows and trades</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and values of the underlying reference instruments. Investments in open-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>end investment companies are valued at net asset value each business</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>day. Short-term securities with remaining maturities of 60 days or less may</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be valued at amortized cost, which approximates fair value.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Equity investments traded on a recognized securities exchange or the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>NASDAQ Global Market System (&#8220;NASDAQ&#8221;) are valued at the last reported</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sale price that day or the NASDAQ official closing price, if applicable. For</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>equity investments traded on more than one exchange, the last reported</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sale price on the exchange where the stock is primarily traded is used.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Equity investments traded on a recognized exchange for which there were</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>no sales on that day are valued at the last available bid (long positions)</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or ask (short positions) price. If no bid or ask price is available, the prior</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>day&#8217;s price will be used, unless it is determined that such prior day&#8217;s price</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>no longer reflects the fair value of the security.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Securities and other assets and liabilities denominated in foreign curren-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cies are translated into US dollars using exchange rates determined as of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the close of business on the New York Stock Exchange (&#8220;NYSE&#8221;). Foreign</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>currency exchange contracts are valued at the mean between the bid and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ask prices and are determined as of the close of business on the NYSE.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interpolated values are derived when the settlement date of the contract</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>is an interim date for which quotations are not available.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Exchange-traded options are valued at the mean between the last bid and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ask prices at the close of the options market in which the options trade. An</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>exchange-traded option for which there is no mean price is valued at the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>last bid (long positions) or ask (short positions) price. If no bid or ask price</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>is available, the prior day&#8217;s price will be used, unless it is determined that</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the prior day&#8217;s price no longer reflects the fair value of the option. Over-the-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counter (&#8220;OTC&#8221;) options and swaptions are valued by an independent</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pricing service using a mathematical model which incorporates a number</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of market data factors, such as the trades and prices of the underlying</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>instruments.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In the event that application of these methods of valuation results in a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>price for an investment which is deemed not to be representative of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market value of such investment or is not available, the investment will be</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>valued in accordance with a policy approved by the Board as reflecting</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fair value (&#8220;Fair Value Assets&#8221;). When determining the price for Fair Value</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets, the investment advisor and/or the sub-advisor seeks to determine</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the price that each Fund might reasonably expect to receive from the cur-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rent sale of that asset in an arm&#8217;s-length transaction. Fair value determina-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions shall be based upon all available factors that the investment advisor</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>subsequently reported to the Board or a committee thereof.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Generally, trading in foreign instruments is substantially completed</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each day at various times prior to the close of business on the NYSE.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Occasionally, events affecting the values of such instruments may occur</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between the foreign market close and the close of business on the NYSE</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that may not be reflected in the computation of each Fund&#8217;s net assets.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>If events (for example, a company announcement, market volatility or a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>natural disaster) occur during such periods that are expected to materially</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>affect the value of such instruments, those instruments may be Fair Value</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Assets and be valued at their fair value, as determined in good faith by</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the investment advisor using a pricing service and/or policies approved</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the Board. Each business day, the Funds use a pricing service to assist</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with the valuation of certain foreign exchange-traded equity securities</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and foreign exchange-traded and OTC options (the &#8220;Systematic Fair Value</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Price&#8221;). Using current market factors, the Systematic Fair Value Price is</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>designed to value such foreign securities and foreign options at fair value</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>as of the close of business on the NYSE, which follows the close of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>local markets.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Foreign Currency Transactions: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds&#8217; books and records are main-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tained in US dollars. Purchases and sales of investment securities are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recorded at the rates of exchange prevailing on the date the transactions</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are entered into. Generally, when the US dollar rises in value against a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>foreign currency, the Funds&#8217; investments denominated in that currency will</FONT></P>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>59</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>lose value because its currency is worth fewer US dollars; the opposite</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>effect occurs if the US dollar falls in relative value.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds report realized currency gains (losses) on foreign currency</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>related transactions as components of net realized gain (loss) for financial</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reporting purposes, whereas such components are treated as ordinary</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>income for federal income tax purposes.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif><STRONG>Zero-Coupon Bonds:</STRONG> </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may invest in zero-coupon bonds, which</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are normally issued at a significant discount from face value and do not</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>provide for periodic interest payments. Zero-coupon bonds may experience</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>greater volatility in market value than similar maturity debt obligations</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which provide for regular interest payments.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif><STRONG>Capital Trusts:</STRONG> </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may invest in capital trusts. These securities are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>typically issued by corporations, generally in the form of interest-bearing</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>notes with preferred securities characteristics, or by an affiliated business</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>trust of a corporation, generally in the form of beneficial interests in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>subordinated debentures or similarly structured securities. The securities</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>can be structured as either fixed or adjustable coupon securities that can</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>have either a perpetual or stated maturity date. Dividends can be deferred</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>without creating an event of default or acceleration, although maturity</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cannot take place unless all cumulative payment obligations have been</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>met. The deferral of payments does not affect the purchase or sale of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>these securities in the open market. Payments on these securities are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>treated as interest rather than dividends for federal income tax purposes.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These securities generally are rated below that of the issuing company&#8217;s</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>senior debt securities.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif><STRONG>Preferred Stock:</STRONG> </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may invest in preferred stocks. Preferred stock</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>has a preference over common stock in liquidation (and generally in receiv-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing dividends as well) but is subordinated to the liabilities of the issuer in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>all respects. As a general rule, the market value of preferred stock with a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fixed dividend rate and no conversion element varies inversely with interest</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates and perceived credit risk, while the market price of convertible pre-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ferred stock generally also reflects some element of conversion value.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Because preferred stock is junior to debt securities and other obligations</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the issuer, deterioration in the credit quality of the issuer will cause</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>greater changes in the value of a preferred stock than in a more senior</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>debt security with similar stated yield characteristics. Unlike interest pay-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments on debt securities, preferred stock dividends are payable only if</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>declared by the issuer&#8217;s board of directors. Preferred stock also may be</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>subject to optional or mandatory redemption provisions.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif><STRONG>Floating Rate Loan Interests:</STRONG> </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may invest in floating rate loan</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interests. The floating rate loan interests the Funds hold are typically</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>issued to companies (the &#8220;borrower&#8221;) by banks, other financial institutions,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and privately and publicly offered corporations (the &#8220;lender&#8221;). Floating rate</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>loan interests are generally non-investment grade, often involve borrowers</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>whose financial condition is troubled or uncertain and companies that</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are highly levered. The Funds may invest in obligations of borrowers who</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are in bankruptcy proceedings. Floating rate loan interests may include</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fully funded term loans or revolving lines of credit. Floating rate loan</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interests are typically senior in the corporate capital structure of the<BR></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrower. Floating rate loan interests generally pay interest at rates that</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are periodically determined by reference to a base lending rate plus a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>premium. The base lending rates are generally the lending rate offered by</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>one or more European banks, such as LIBOR (London Inter Bank Offered</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Rate), the prime rate offered by one or more US banks or the certificate of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>deposit rate. Floating rate loan interests may involve foreign borrowers, and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investments may be denominated in foreign currencies. The Funds consider</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>these investments to be investments in debt securities for purposes of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>their investment policies.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>When a Fund buys a floating rate loan interest it may receive a facility</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fee and when it sells a floating rate loan interest it may pay a facility fee.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>On an ongoing basis, the Funds may receive a commitment fee based on</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the undrawn portion of the underlying line of credit amount of a floating</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate loan interest. The Funds earn and/or pays facility and other fees on</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>floating rate loan interests, which are shown as facility and other fees in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Statements of Operations. Facility and commitment fees are typically</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amortized to income over the term of the loan or term of the commitment,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>respectively. Consent and amendment fees are recorded to income as</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>earned. Prepayment penalty fees, which may be received by the Funds</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>upon the prepayment of a floating rate loan interest by a borrower, are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recorded as realized gains. The Funds may invest in multiple series or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tranches of a loan. A different series or tranche may have varying terms</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and carry different associated risks.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Floating rate loan interests are usually freely callable at the borrower&#8217;s</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>option. The Funds may invest in such loans in the form of participations</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in loans (&#8220;Participations&#8221;) or assignments (&#8220;Assignments&#8221;) of all or a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>portion of loans from third parties. Participations typically will result in the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds having a contractual relationship only with the lender, not with the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrower. The Funds will have the right to receive payments of principal,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest and any fees to which it is entitled only from the lender selling the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Participation and only upon receipt by the lender of the payments from the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrower. In connection with purchasing Participations, the Funds generally</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>will have no right to enforce compliance by the borrower with the terms of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the loan agreement, nor any rights of offset against the borrower, and the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds may not benefit directly from any collateral supporting the loan</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in which it has purchased the Participation. As a result, the Funds will</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assume the credit risk of both the borrower and the lender that is selling</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Participation. The Funds&#8217; investment in loan participation interests</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>involves the risk of insolvency of the financial intermediaries who are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>parties to the transactions. In the event of the insolvency of the lender</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>selling the Participation, the Funds may be treated as general creditors of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the lender and may not benefit from any offset between the lender and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the borrower. Assignments typically result in the Funds having a direct</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contractual relationship with the borrower, and the Funds may enforce</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>compliance by the borrower with the terms of the loan agreement.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Reverse Repurchase Agreements: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may enter into reverse</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>repurchase agreements with qualified third party broker-dealers. In a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reverse repurchase agreement, the Funds sell securities to a bank or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>broker-dealer and agrees to repurchase the same securities at a mutually</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreed upon date and price. Certain agreements have no stated maturity</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and can be terminated by either party at any time. Interest on the value of</FONT></P>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the reverse repurchase agreements issued and outstanding is based upon</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>competitive market rates determined at the time of issuance. The Funds</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may utilize reverse repurchase agreements when it is anticipated that the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest income to be earned from the investment of the proceeds of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transaction is greater than the interest expense of the transaction. Reverse</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>repurchase agreements involve leverage risk and also the risk that the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market value of the securities that the Funds are obligated to repurchase</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>under the agreement may decline below the repurchase price. In the event</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the buyer of securities under a reverse repurchase agreement files for</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>bankruptcy or becomes insolvent, the Funds&#8217; use of the proceeds of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreement may be restricted while the other party, or its trustee or receiver,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>determines whether or not to enforce the Funds&#8217; obligation to repurchase</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the securities.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif><STRONG>Defensive Positions: </STRONG></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSW, PSY, BPP and BTZ Fund may vary its investment</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>policies for temporary defensive purposes during periods in which the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment advisor believes that conditions in the securities markets or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other economic, financial or political conditions warrant. Under such</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>conditions, the Funds for temporary defensive purposes may invest up to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100% of its total assets in, as applicable and described in each Fund&#8217;s</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>prospectus, US government securities, certificates of deposit, repurchase</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreements that involve purchases of debt securities, bankers&#8217; acceptances</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and other bank obligations, commercial paper, money market funds and/or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other debt securities deemed by the investment advisor to be consistent</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with a defensive posture, or may hold its assets in cash.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif><STRONG>Segregation and Collateralization: </STRONG></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In cases in which the 1940 Act and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the interpretive positions of the Securities and Exchange Commission</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(&#8220;SEC&#8221;) require that the Funds either deliver collateral or segregate assets</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in connection with certain investments (e.g., financial futures contracts,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>foreign currency exchange contracts and swaps), or certain borrowings</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e.g., reverse repurchase agreements and loan payable), the Funds will,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>consistent with SEC rules and/or certain interpretive letters issued by the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SEC, segregate collateral or designate on their books and records cash or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other liquid securities having a market value at least equal to the amount</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>that would otherwise be required to be physically segregated. Furthermore,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>based on requirements and agreements with certain exchanges and third</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>party broker-dealers, each party has requirements to deliver/deposit</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>securities as collateral for certain investments.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif><STRONG>Investment Transactions and Investment Income:</STRONG> </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For financial reporting</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>purposes, investment transactions are recorded on the dates the trans-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>actions are entered into (the trade dates). Realized gains and losses on</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment transactions are determined on the identified cost basis.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividend income is recorded on the ex-dividend dates. Dividends from</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>foreign securities where the ex-dividend date may have passed are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>subsequently recorded when the Funds are informed of the ex-dividend</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>date. Under the applicable foreign tax laws, a withholding tax at various</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rates may be imposed on capital gains, dividends and interest. Upon</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>notification from issuers, some of the dividend income received from a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>real estate investment trust may be redesignated as a reduction of cost</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the related investment and/or realized gain. Interest income, including</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amortization and accretion of premiums and discounts on debt securities,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>is recognized on the accrual basis.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif><STRONG>Dividends and Distributions:</STRONG> </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends from net investment income are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>declared and paid daily. Distributions of capital gains are recorded on</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the ex-dividend dates. If the total dividends and distributions made in any</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tax year exceeds net investment income and accumulated realized capital</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>gains, a portion of the total distribution may be treated as a tax return of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>capital. The amount and timing of dividends and distributions are deter-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mined in accordance with federal income tax regulations, which may differ</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>from US GAAP. Dividends and distributions to Preferred Shareholders were</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>accrued and determined as described in Note 6.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif><STRONG>Income Taxes:</STRONG> </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>It is each Fund&#8217;s policy to comply with the requirements of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Internal Revenue Code of 1986, as amended, applicable to regulated</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment companies and to distribute substantially all of its taxable</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>income to its shareholders. Therefore, no federal income tax provision</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>is required.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BGT has a wholly owned taxable subsidiary organized as a limited liability</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>company (the &#8220;Taxable Subsidiary&#8221;) which holds one of the investments</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>listed in the Schedule of Investments. The Taxable Subsidiary enables the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund to hold an investment that is organized as an operating partnership</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>while still satisfying Regulated Investment Company tax requirements.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Income earned on the investment held by the Taxable Subsidiary is</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>taxable to such subsidiary. An income tax provision for all income,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>including realized and unrealized gains, if any, of the Taxable Subsidiary is</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reflected in the value of the investment held by the Taxable Subsidiary.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Each Fund files US federal and various state and local tax returns. No</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>income tax returns are currently under examination. The statute of limita-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions on PSW&#8217;s and PSY&#8217;s US federal tax returns remains open for the four</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>years ended October 31, 2010. The statute of limitations on BPP&#8217;s and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BGT&#8217;s US federal tax returns remains open for the year ended December</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>31, 2007, the period ended October 31, 2008 and the two years ended</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>October 31, 2010. The statute of limitations on BTZ&#8217;s US Federal tax</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>returns remains open for the three years ended October 31, 2010 and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the period ended October 31, 2007. The statutes of limitations on the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds&#8217; state and local tax returns may remain open for an additional year</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>depending upon the jurisdiction. There are no uncertain tax positions that</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>require recognition of a tax liability.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Deferred Compensation and BlackRock Closed-End Share Equivalent</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Investment Plan: </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Under the deferred compensation plan approved by each</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund&#8217;s Board, independent Directors (&#8220;Independent Directors&#8221;) may defer</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a portion of their annual complex-wide compensation. Deferred amounts</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>earn an approximate return as though equivalent dollar amounts had been</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>invested in common shares of certain other BlackRock Closed-End Funds</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>selected by the Independent Directors. This has approximately the same</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>economic effect for the Independent Directors as if the Independent</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Directors had invested the deferred amounts directly in certain other</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Closed-End Funds.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The deferred compensation plan is not funded and obligations there-under</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>represent general unsecured claims against the general assets of each</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund. Each Fund may, however, elect to invest in common shares of certain</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other BlackRock Closed-End Funds selected by the Independent Directors</FONT></P>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in order to match its deferred compensation obligations. Investments to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cover each Fund&#8217;s deferred compensation liability, if any, are included in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>other assets in the Statements of Assets and Liabilities. Dividends and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>distributions from the BlackRock Closed-End Fund investments under the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>plan are included in income &#8212; affiliated in the Statements of Operations.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif><STRONG>Other:</STRONG> </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Expenses directly related to the Funds are charged to that Fund.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Other operating expenses shared by several funds are pro rated among</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>those funds on the basis of relative net assets or other appropriate</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>methods. The Funds have an arrangement with the custodian whereby</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fees may be reduced by credits earned on uninvested cash balances,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which if applicable are shown as fees paid indirectly in the Statements</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Operations. The custodian imposes fees on overdrawn cash balances,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which can be offset by accumulated credits earned or may result in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>additional custody charges.</FONT><BR><BR><STRONG><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>2. Derivative Financial Instruments:</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds engage in various portfolio investment strategies using derivative</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts both to increase the returns of the Funds and to economically</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>hedge, or protect, their exposure to certain risks such as credit risk, equity</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risk, interest rate risk, foreign currency exchange rate risk or other risk</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(commodity price risk and inflation risk). These contracts may be trans-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>acted on an exchange or OTC.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Losses may arise if the value of the contract decreases due to an unfavor-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>able change in the market rates or values of the underlying instrument or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>if the counterparty does not perform under the contract. The Funds&#8217; maxi-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mum risk of loss from counterparty credit risk on OTC derivatives is gener-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ally the aggregate unrealized gain netted against any collateral pledged</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by/posted to the counterparty. For OTC options purchased, the Funds</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>bear the risk of loss in the amount of the premiums paid plus the positive</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>change in market values net of any collateral received on the options</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>should the counterparty fail to perform under the contracts. Options written</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the Funds do not give rise to counterparty credit risk, as options written</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>obligate the Funds to perform and not the counterparty. Counterparty</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risk related to exchange-traded financial futures contracts and options is</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>deemed to be minimal due to the protection against defaults provided by</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the exchange on which these contracts trade.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may mitigate counterparty risk by procuring collateral and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>through netting provisions included within an International Swaps and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Derivatives Association, Inc. (&#8220;ISDA&#8221;) Master Agreement implemented</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>between a Fund and each of its respective counterparties. The ISDA Master</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Agreement allows each Fund to offset with each separate counterparty</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>certain derivative financial instrument&#8217;s payables and/or receivables</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with collateral held. The amount of collateral moved to/from applicable</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparties is generally based upon minimum transfer amounts of up</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to $500,000. To the extent amounts due to the Funds from their counter-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>parties are not fully collateralized contractually or otherwise, the Funds</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>bear the risk of loss from counterparty non-performance. See Note 1</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8220;Segregation and Collateralization&#8221; for information with respect to collateral</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>practices. In addition, the Funds manage counterparty risk by entering</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>into agreements only with counterparties that it believes have the financial</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>resources to honor their obligations and by monitoring the financial stability</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of those counterparties.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain ISDA Master Agreements allow counterparties to OTC derivatives to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>terminate derivative contracts prior to maturity in the event the Funds&#8217; net</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets decline by a stated percentage or the Funds fail to meet the terms</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of its ISDA Master Agreements, which would cause the Funds to accelerate</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>payment of any net liability owed to the counterparty.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif><STRONG>Financial Futures Contracts: </STRONG></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds purchase or sell financial futures</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contracts and options on financial futures contracts to gain exposure to,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or economically hedge against, changes in interest rates (interest rate risk),</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>changes in the value of equity securities (equity risk) or foreign currencies</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(foreign currency exchange rate risk). Financial futures contracts are agree-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments between the Funds and the counterparty to buy or sell a specific</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>quantity of an underlying instrument at a specified price and at a specified</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>date. Depending on the terms of the particular contract, futures contracts</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are settled either through physical delivery of the underlying instrument on</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the settlement date of by payment of a cash settlement amount on settle-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ment date. Pursuant to the contract, the Funds agree to receive from or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pay to the broker an amount of cash equal to the daily fluctuation in value</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the contract. Such receipts or payments are known as margin variation</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and are recorded by the Funds as unrealized appreciation or depreciation.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>When the contract is closed, the Funds record a realized gain or loss</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>equal to the difference between the value of the contract at the time it</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>was opened and the value at the time it was closed. The use of financial</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>futures contracts involves the risk of an imperfect correlation in the move-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments in the price of financial futures contracts, interest rates and the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>underlying assets.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif><STRONG>Foreign Currency Exchange Contracts: </STRONG></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds enter into foreign cur-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rency exchange contracts as an economic hedge against either specific</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transactions or portfolio instruments or to obtain exposure to foreign cur-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rencies (foreign currency exchange rate risk). A foreign currency exchange</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contract is an agreement between two parties to buy and sell a currency at</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a set exchange rate on a future date. Foreign currency exchange contracts,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>when used by the Funds, help to manage the overall exposure to the cur-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rencies, in which some of the investments held by the Funds are denomi-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>nated. The contract is marked-to-market daily and the change in market</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>value is recorded by the Funds as an unrealized gain or loss. When the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>contract is closed, the Funds record a realized gain or loss equal to the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>difference between the value at the time it was opened and the value at</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the time it was closed. The use of foreign currency exchange contracts</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>involves the risk that the value of a foreign currency exchange contract</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>changes unfavorably due to movements in the value of the referenced for-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>eign currencies and the risk that a counterparty to the contract does not</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>perform its obligations under the agreement.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif><STRONG>Options: </STRONG></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds purchase and write call and put options to increase</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or decrease their exposure to underlying instruments (including equity</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>risk, interest rate risk and/or commodity price risk) and/or, in the case of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>options written, to generate gains from options premiums. A call option</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>gives the purchaser of the option the right (but not the obligation) to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>buy, and obligates the seller to sell (when the option is exercised), the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>underlying instrument at the exercise price at any time or at a specified</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>time during the option period. A put option gives the holder the right to sell</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and obligates the writer to buy the underlying instrument at the exercise</FONT></P>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>62</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>price at any time or at a specified time during the option period. When the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds purchase (writes) an option, an amount equal to the premium paid</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(received) by the Funds is reflected as an asset (liability). The amount of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the asset (liability) is subsequently marked-to-market to reflect the current</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market value of the option purchased (written). When an instrument is pur-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>chased or sold through an exercise of an option, the related premium paid</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(or received) is added to (or deducted from) the basis of the instrument</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>acquired or deducted from (or added to) the proceeds of the instrument</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>sold. When an option expires (or the Funds enter into a closing transac-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion), the Funds realize a gain or loss on the option to the extent of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>premiums received or paid (or gain or loss to the extent the cost of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>closing transaction exceeds the premiums received or paid). When the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds write a call option, such option is &#8220;covered,&#8221; meaning that the Funds</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>holds the underlying instrument subject to being called by the option</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparty. When the Funds write a put option, such option is covered</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by cash in an amount sufficient to cover the obligation.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In purchasing and writing options, the Funds bear the risk of an unfavor-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>able change in the value of the underlying instrument or the risk that the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds may not be able to enter into a closing transaction due to an illiquid</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>market. Exercise of a written option could result in the Funds purchasing or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>selling a security at a price different from the current market value.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif><STRONG>Swaps:</STRONG> </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds enter into swap agreements, in which the Funds</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and a counterparty agree to make periodic net payments on a specified</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>notional amount. These periodic payments received or made by the Funds</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are recorded in the Statements of Operations as realized gains or losses,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>respectively. Any upfront fees paid are recorded as assets and any upfront</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fees received are recorded as liabilities and amortized over the term</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the swap. Swaps are marked-to-market daily and changes in value are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recorded as unrealized appreciation (depreciation). When the swap is ter-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>minated, the Funds will record a realized gain or loss equal to the differ-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ence between the proceeds from (or cost of) the closing transaction and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Funds&#8217; basis in the contract, if any. Generally, the basis of the contracts</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>is the premium received or paid. Swap transactions involve, to varying</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>degrees, elements of interest rate, credit and market risk in excess of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amounts recognized in the Statements of Assets and Liabilities. Such risks</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>involve the possibility that there will be no liquid market for these<BR></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreements, that the counterparty to the agreements may default on its</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>obligation to perform or disagree as to the meaning of the contractual</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>terms in the agreements, and that there may be unfavorable changes in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>interest rates and/or market values associated with these transactions.</FONT><BR><BR><FONT color=#231f20 size=2 face=Frutiger-Roman,Arial,Helvetica,sans-serif>&#8226; </FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps &#8212; The Funds enter into credit default swaps to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>manage their exposure to the market or certain sectors of the market,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to reduce its risk exposure to defaults of corporate and/or sovereign</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>issuers or to create exposure to corporate and/or sovereign issuers to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>which they are not otherwise exposed (credit risk). The Funds enter into</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credit default swap agreements to provide a measure of protection</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>against the default of an issuer (as buyer of protection) and/or gain</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credit exposure to an issuer to which it is not otherwise exposed (as</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>seller of protection). The Funds may either buy or sell (write) credit</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>default swaps on single-name issuers (corporate or sovereign), a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>combination or basket of single-name issuers or traded indexes.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps on single-name issuers are agreements in which</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the buyer pays fixed periodic payments to the seller in consideration</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for a guarantee from the seller to make a specific payment should a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>negative credit event take place with respect to the referenced entity</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(e.g., bankruptcy, failure to pay, obligation accelerators, repudiation,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>moratorium or restructuring). Credit default swaps on traded indexes</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are agreements in which the buyer pays fixed periodic payments to the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>seller in consideration for a guarantee from the seller to make a spe-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cific payment should a write-down, principal or interest shortfall or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>default of all or individual underlying securities included in the index</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>occurs. As a buyer, if an underlying credit event occurs, the Funds will</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>either receive from the seller an amount equal to the notional amount</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the swap and deliver the referenced security or underlying securities</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>comprising the index or receive a net settlement of cash equal to the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>notional amount of the swap less the recovery value of the security or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>underlying securities comprising the index. As a seller (writer), if an</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>underlying credit event occurs, the Funds will either pay the buyer an</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amount equal to the notional amount of the swap and take delivery of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the referenced security or underlying securities comprising the index or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pay a net settlement of cash equal to the notional amount of the swap</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>less the recovery value of the security or underlying securities</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>comprising the index.</FONT></P>

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<TR>

   <TD width="27%"></TD>

   <TD width="32%"></TD>

   <TD width="4%"></TD>

   <TD width="7%"></TD>

   <TD width="9%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Derivative Financial Instruments Categorized by Risk Exposure:</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=6 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Fair Values of Derivative Financial Instruments as of April 30, 2011</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=6 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Asset Derivatives</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>PSW</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>PSY</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BPP</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BTZ</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Statements of Assets</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>and Liabilities Location</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Equity contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at value-unaffiliated*</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 69,440</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 292,640</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 143,840</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 486,080</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized appreciation on</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>foreign currency contracts</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,307</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" colSpan=2 align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized appreciation/depreciation**;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at value-unaffililated*</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>80,002</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>221,534</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>192,738</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>602,815</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized appreciation on swaps;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 3px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Investments at value-unaffiliated*</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,854</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,718</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,072</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,077</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 157,296</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 560,199</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 347,650</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,127,972</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* Includes options purchased at value as reported in the Schedule of Investments.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>** Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedules of Investments. Only the current day's margin variation</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>is reported within the Statements of Assets and Liabilities.</FONT></P>

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<TR>

   <TD width="40%"></TD>

   <TD width="46%"></TD>

   <TD width="13%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>63</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="26%"></TD>

   <TD width="29%"></TD>

   <TD width="8%"></TD>

   <TD width="8%"></TD>

   <TD width="8%"></TD>

   <TD width="8%"></TD>

   <TD width="7%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=7 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Liability Derivatives</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>PSW</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>PSY</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BPP</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BTZ</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BGT</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Statements of Assets</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>and Liabilities Location</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>foreign currency contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,495,067</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate contracts</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Net unrealized appreciation/</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>depreciation*; Unrealized depreciation</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>on swaps; Options written at value</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 598,695</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,743,096</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,385,302</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$4,644,436</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit contracts</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unrealized depreciation on swaps;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Options written at value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>25,652</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>108,469</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>54,738</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>179,561</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 624,347</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,851,565</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,440,040</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$4,823,997</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,495,067</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="24%"></TD>

   <TD width="34%"></TD>

   <TD width="5%"></TD>

   <TD width="8%"></TD>

   <TD width="8%"></TD>

   <TD width="8%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD colSpan=7 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>The Effect of Derivative Financial Instruments in the Statements of Operations</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=7 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months Ended April 30, 2011</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=7 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Realized Gain (Loss) From</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>PSW</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>PSY</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BPP</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 4px" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BTZ</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BGT</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (52,177)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (48,097)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (122,670)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (635,711)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Options**</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(18,020)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(61,430)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(11,899)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(50,387)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14,205</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>46,508</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(8,337,398)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,388</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>202,274</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>78,385</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>322,849</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,581</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (14,688)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 103,790</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (48,100)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (327,784)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(8,335,817)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="27%"></TD>

   <TD width="39%"></TD>

   <TD width="8%"></TD>

   <TD width="8%"></TD>

   <TD width="7%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=6 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Change in Unrealized Appreciation/Depreciation on</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>PSW</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>PSY</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BPP</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BTZ</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BGT</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (273,121)&nbsp;&nbsp;$ (1,401,049)&nbsp;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$(116,626) </FONT></TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>(712,327)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(120,143)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(506,560)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(228,984)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(774,700)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Options**</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,428</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,110</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(15,810)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(61,770)</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,307</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,432,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Swaps</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7,852</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>34,718</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>9,103</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>39,077</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(19,172)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Options**</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100,349</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>424,331</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>206,431</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>702,440</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Equity contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Options**</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(65,800)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(277,300)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(136,300)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(460,600)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (349,435) $ (1,708,443) $</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(282,186) $ (1,267,880)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,413,728</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>* Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedules of Investments. Only the current day's margin variation is reported within</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Statements of Assets and Liabilities.</FONT><BR><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>** Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.</FONT></P>

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   <TD width="51%"></TD>

   <TD width="34%"></TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>64</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended April 30, 2011, the average quarterly balance of outstanding derivative financial instruments was as follows:</FONT></P>

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   <TD width="20%"></TD>

   <TD width="8%"></TD>

   <TD width="8%"></TD>

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   <TD width="7%"></TD>

   <TD width="8%"></TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>PSW</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>PSY</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BPP</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BTZ</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BGT</FONT></B>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial futures contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>51</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>106</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>62</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>200</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts sold</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>145</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>662</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>118</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>418</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value of contracts purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$10,930,322</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$23,116,483</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$12,469,701&nbsp;&nbsp; $</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40,429,764</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value of contracts sold</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$17,364,690</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$79,179,936</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14,092,133&nbsp;&nbsp; $</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>49,943,008</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Foreign currency exchange contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts &#8212; US dollars purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts &#8212; US dollars sold</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average US dollar amounts purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 348,717</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$82,244,485</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average US dollar amounts sold</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 407,204</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Options:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of option contracts purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>14</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>59</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>11,350,029</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>38,650,098</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>26</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of option contracts written</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value of option contracts purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,750,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,375,000</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$14,975,000&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$<FONT color=#000000 size=3 face="Times New Roman">&nbsp;</FONT>50,900,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 24,514</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value of option contracts written</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of swaption contracts purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of swaption contracts written</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>3</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value of swaption contracts purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,850,000</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 6,300,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value of swaption contracts written</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$19,300,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$81,700,000</FONT>&nbsp;</TD>

   <TD colSpan=3 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$44,700,000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $152,500,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Credit default swaps:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts &#8212; buy protection</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts &#8212; sell protection</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value &#8212; buy protection</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,725,000</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value &#8212; sell protection</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,857,095</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,961,167</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 962,500</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,212,500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Interest rate swaps:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts &#8212; pays fixed rate</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average number of contracts &#8212; receives fixed rate</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value &#8212; pays fixed rate</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 7,800,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$33,150,000</FONT>&nbsp;</TD>

   <TD colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$16,150,000</FONT>&nbsp;&nbsp;&nbsp;&nbsp; </TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&nbsp;$54,950,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average notional value &#8212; receives fixed rate</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,000,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,450,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><STRONG><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>3. Investment Advisory Agreement and Other Transactions</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>with Affiliates:</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>As of April 30, 2011, the PNC Financial Services Group, Inc. (&#8220;PNC&#8221;), Bank</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of America Corporation (&#8220;BAC&#8221;) and Barclays Bank PLC (&#8220;Barclays&#8221;) were</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the largest stockholders of BlackRock, Inc. (&#8220;BlackRock&#8221;). Due to the own-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ership structure, PNC is an affiliate of the Funds for 1940 Act purposes, but</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BAC and Barclays are not.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Each Fund entered into an Investment Advisory Agreement with BlackRock</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advisors, LLC (the &#8220;Manager&#8221;), the Funds&#8217; investment advisor, an indirect,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>wholly owned subsidiary of BlackRock, to provide investment advisory and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>administration services. The Manager is responsible for the management</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of each Fund&#8217;s portfolio and provides the necessary personnel, facilities,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>equipment and certain other services necessary to the operations of each</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund. For such services, each Fund pays the Manager a monthly fee at the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>following annual rates of each Fund&#8217;s average daily (weekly for BPP, BTZ</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and BGT) net assets (including any assets attributable to borrowings or to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the proceeds from the issuance of Preferred Shares) as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="48%"></TD>

   <TD width="51%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSW</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSY</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.60%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BPP</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.65%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BTZ</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.65%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BGT</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.75%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Average daily net assets is the average daily value of each Fund&#8217;s total</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>assets minus the sum of its accured liabilities (other than borrowings</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>representing financial leverage). Average weekly net assets is the average</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>weekly value of each Fund&#8217;s total assets minus the sum of its liabilities</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(other than borrowings representing financial leverage).</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Manager has voluntarily agreed to waive a portion of the investment</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>advisory fees or other expenses on BGT as a percentage of its average</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>weekly net assets (including any assets attributable to borrowings or to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the proceeds from the issuance of Preferred Shares) minus the sum of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>liabilities (other than borrowings representing financial leverage) as follows:</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.10% for the period September 1, 2010 to August 31, 2011 and 0.05%</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for the period September 1, 2011 to August 31, 2012. For the six months</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ended April 30, 2011, the Manager waived $231,540, which is included in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fees waived by advisor in the Statements of Operations</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Manager voluntarily agreed to waive its advisory fees by the amount</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of investment advisory fees each Fund pays to the Manager indirectly</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>through its investment in affiliated money market funds, however the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Manager does not waive its investment advisory fees by the amount of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment advisory fees paid through each Fund&#8217;s investment in other</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>affiliated investment companies, if any. These amounts are included in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fees waived by advisor in the Statements of Operations. For the six months</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ended April 30, 2011, the amounts waived were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="48%"></TD>

   <TD width="51%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSW</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 647</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSY</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,820</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BPP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BTZ</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$9,161</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BGT</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,378</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Manager entered into a sub-advisory agreement with BlackRock</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Financial Management, Inc. (&#8220;BFM&#8221;), an affiliate of the Manager. The</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Manager pays BFM for services it provides, a monthly fee that is a percent-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>age of the investment advisory fees paid by each Fund to the Manager.</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="40%"></TD>

   <TD width="46%"></TD>

   <TD width="13%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>65</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

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<!--$$/page=--><A name="page_67"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the period November 1, 2010 through December 31, 2010, the Funds</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reimbursed the Manager for certain accounting services, which are</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>included in accounting services in the Statements of Operations. The</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reimbursements were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="45%"></TD>

   <TD width="54%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Accounting</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Services</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSW</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 228</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSY</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,017</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BPP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,822</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BTZ</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,330</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BGT</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 751</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Effective January 1, 2011, the Funds no longer reimburse the Manager for</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>accounting services.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain officers and/or directors of the Funds are officers and/or directors</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of BlackRock or its affiliates. The Funds reimburse the Manager for com-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>pensation paid to the Funds&#8217; Chief Compliance Officer.</FONT><BR><BR><STRONG><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>4. Investments:</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases and sales of investments including paydowns and payups,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>excluding short-term securities and US government securities for the six</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>months ended April 30, 2011, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="30%"></TD>

   <TD width="47%"></TD>

   <TD width="22%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Purchases</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Sales</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSW</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 47,156,602</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 31,671,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSY</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$188,482,250</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$116,485,696</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BPP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 93,411,240</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 60,110,630</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BTZ</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$299,454,602</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$179,835,272</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BGT</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$299,338,045</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$261,226,217</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Purchases and sales of US government securities for the six months ended</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>April 30, 2011, were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="30%"></TD>

   <TD width="47%"></TD>

   <TD width="22%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Purchases</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Sales</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSW</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 2,251,185</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 21,137,679</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSY</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 10,386,258</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 99,767,639</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BPP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 4,943,014</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 24,571,673</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BTZ</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 26,010,380</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$147,075,351</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><STRONG><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>5. Commitments:</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds may invest in floating rate loan interests. In connection with</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>these investments, the Funds may also enter into unfunded loan commit-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ments (&#8220;commitments&#8221;). Commitments may obligate the Funds to furnish</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>temporary financing to a borrower until permanent financing can be</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>arranged. In connection with these commitments, the Funds earn a com-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>mitment fee, typically set as a percentage of the commitment amount.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Such fee income, which is classified in the Statements of Operations as</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>facility and other fees, is recognized ratably over the commitment period.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Unfunded loan commitments are marked-to-market daily, and any unreal-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ized appreciation or depreciation is included in the Statements of Assets of</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Liabilities and Statements of Operations. As of April 30, 2011, BGT had the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>following unfunded loan commitments:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="44%"></TD>

   <TD width="20%"></TD>

   <TD width="16%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unfunded</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Value of</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan</FONT></B>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Underlying</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Appreciation</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Borrower</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Commitment</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Loan</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>(Depreciation)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>CII Investments, LLC (FKA Cloverhill),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delayed Draw Term Loan</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 146,972</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 145,502</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (1,470)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Delta Air Lines, Inc., Term Loan B</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,700,000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$2,667,600</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (32,400)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Horizon Lines, LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 169,014</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 164,366</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ (4,648)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>inVentiv Health, Inc.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 2px" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(FKA Ventive Health, Inc.)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,066,667</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$1,069,668</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,001</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><STRONG><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>6. Concentration, Market and Credit Risk:</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSW, PSY, BPP and BTZ invest a significant portion of each of their assets</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in securities in the financials sector and BGT invests a significant portion of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>its assets in the media sector. Please see the Schedules of Investments for</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>these securities. Changes in economic conditions affecting the financials</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and media sectors would have a greater impact on the Funds and could</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>affect the value, income and/or liquidity of positions in such securities.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In the normal course of business, the Funds invest in securities and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>enter into transactions where risks exist due to fluctuations in the market</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(market risk) or failure of the issuer of a security to meet all its obligations</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(issuer credit risk). The value of securities held by the Funds may decline</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in response to certain events, including those directly involving the issuers</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>whose securities are owned by the Funds; conditions affecting the general</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>economy; overall market changes; local, regional or global political,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>social or economic instability; and currency and interest rate and price</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fluctuations. Similar to issuer credit risk, the Funds may be exposed to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>counterparty credit risk, or the risk that an entity with which the Funds have</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>unsettled or open transactions may fail to or be unable to perform on its</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>commitments. The Funds manage counterparty credit risk by entering into</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>transactions only with counterparties that they believe have the financial</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>resources to honor their obligations and by monitoring the financial stability</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of those counterparties. Financial assets, which potentially expose the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds to market, issuer and counterparty credit risks, consist principally of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>financial instruments and receivables due from counterparties. The extent</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the Funds&#8217; exposure to market, issuer and counterparty credit risks with</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>respect to these financial assets is generally approximated by their value</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>recorded in the Funds&#8217; Statements of Assets and Liabilities, less any</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>collateral held by the Funds.</FONT><BR><BR><STRONG><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>7. Capital Share Transactions:</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSW and PSY are each authorized to issue 200 million of $0.10 par value</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>shares, all of which were initially classified as Common Shares. Each Board</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>is authorized, however, to reclassify any unissued shares without approval</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Common Shareholders. The Boards of PSW and PSY reclassified 5,460</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and 22,000 unissued Common Shares as $0.10 par value Preferred</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares, respectively, none of which are outstanding. There are an unlimited</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>number of $0.001 par value shares authorized for BPP, BTZ and BGT, which</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may be issued as either Common Shares or Preferred Shares.</FONT></P>

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<TR>

   <TD width="13%"></TD>

   <TD width="51%"></TD>

   <TD width="34%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>66</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT></P>

<P style="TEXT-ALIGN: left"><STRONG><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Common Shares</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>As of April 30, 2011, the shares owned by an affiliate of the Manager of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the Funds were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="48%"></TD>

   <TD width="51%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSW</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,323</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSY</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,661</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BTZ</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,817</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BGT</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,239</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended April 30, 2011, shares issued and outstanding</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>increased by the following amounts as a result of dividend reinvestment:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="36%"></TD>

   <TD width="47%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Six Months</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Ended</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Year Ended</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>April 30,</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>October 31,</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>2010</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BGT</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$25,807</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$32,177</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shares issued and outstanding for the six months ended April 30, 2011</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and the year ended October 31, 2010 remained constant for PSW, PSY,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BPP and BTZ, respectively.</FONT><BR><BR><STRONG><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Preferred Shares</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Preferred Shares were redeemable at the option of each Fund, in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>whole or in part, on any dividend payment date at their liquidation prefer-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ence per share plus any accumulated and unpaid dividends whether or not</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>declared. The Preferred Shares were also subject to mandatory redemption</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>at their liquidation preference plus any accumulated and unpaid dividends,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>whether or not declared, if certain requirements relating to the composition</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the assets and liabilities of a Fund, as set forth in each Fund&#8217;s Articles</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Supplementary/Statement of Preferences and/or Certificate of Designation</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>(the &#8220;Governing Instrument&#8221;) were not satisfied.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The holders of Preferred Shares had voting rights equal to the holders of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Shares (one vote per share) and would vote together with holders</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of Common Shares (one vote per share) as a single class. However, the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>holders of Preferred Shares, voting as a separate class, were also entitled</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to elect two Directors for each Fund. In addition, the 1940 Act requires that</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>along with approval by shareholders that might otherwise be required, the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>approval of the holders of a majority of any outstanding Preferred Shares,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>voting separately as a class would be required to (a) adopt any plan of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reorganization that would adversely affect the Preferred Shares, (b) change</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>a Fund&#8217;s sub-classification as a closed-end investment company or change</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>its fundamental investment restrictions or (c) change its business so as to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>cease to be an investment company.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Dividends on seven-day and 28-day Preferred Shares were cumulative</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>at a rate which is reset every seven or 28 days, respectively, based on the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>results of an auction. If the Preferred Shares failed to clear the auction on</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>an auction date, each Fund was required to pay the maximum applicable</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate on the Preferred Shares to holders of such shares for successive divi-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>dend periods until such time as the shares were successfully auctioned.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The maximum applicable rate on the Preferred Shares at the last auction</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>date was as follows: for PSW, PSY and BGT, the higher of 125% times or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.25% plus the Telerate/BBA LIBOR rate; or BPP 150% of the interest</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>equivalent of the 30-day commercial paper rate and for BTZ, the higher of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>150% times or 1.25% plus the Telerate/BBA LIBOR rate. The low, high and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>average dividend rates for the six months ended April 30, 2011, were as</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="20%"></TD>

   <TD width="28%"></TD>

   <TD width="19%"></TD>

   <TD width="17%"></TD>

   <TD width="13%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Series</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Low</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>High</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Average</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSW</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>M7</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>T7</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSY</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>M7</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.51%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>T7</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.51%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>W7</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.51%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TH7</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.51%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>F7</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.51%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>W28</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.51%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.51%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>TH28</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.52%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.51%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BPP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>T7</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.30%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.32%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.31%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>W7</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.32%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.33%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.32%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>R7</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.30%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.38%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.33%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BTZ</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>T7</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.51%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>W7</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.51%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>R7</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.51%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>F7</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.51%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BGT</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>T7</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>W7</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>R7</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1.50%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Since February 13, 2008, the Preferred Shares of the Funds failed to clear</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>any of their auctions. As a result, the Preferred Shares dividend rates were</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>reset to the maximum applicable rate, which ranged from 0.35% to 1.94%.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>A failed auction is not an event of default for the Funds but it has a nega-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tive impact on the liquidity of Preferred Shares. A failed auction occurs</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>when there are more sellers of a Fund&#8217;s auction rate preferred shares</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>than buyers.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds paid commissions of 0.15% on the aggregate principal amount</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of all shares that failed to clear their auctions and 0.25% on the aggregate</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>principal amount of all shares that successfully cleared their auctions.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Certain broker dealers had individually agreed to reduce commissions for</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>failed auctions.</FONT></P>

<DIV align=left>

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   <TD width="46%"></TD>

   <TD width="13%"></TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>67</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_69"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (continued)</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>During the six months ended April 30, 2011, the Funds announced the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>following redemptions of Preferred Shares at a price of $25,000 per share</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>plus any accrued and unpaid dividends through the redemption date:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="20%"></TD>

   <TD width="25%"></TD>

   <TD width="19%"></TD>

   <TD width="16%"></TD>

   <TD width="17%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Redemption</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Aggregate</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Series</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Date</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Redeemed</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Principle</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSW</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>M7</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/07/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>805</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$20,125,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>T7</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/08/10</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>805</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$20,125,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSY</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>M7</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/04/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>861</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$21,525,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>T7</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/05/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>861</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$21,525,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>W7</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/06/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>861</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$21,525,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>R7</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/07/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>861</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$21,525,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>F7</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/10/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>861</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$21,525,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>W28</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/13/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,228</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$30,700,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>R28</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/28/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1,228</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$30,700,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BPP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>T7</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/08/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>939</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$23,475,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>W7</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/09/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>939</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$23,475,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>R7</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/10/10</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>939</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$23,475,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BTZ</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>T7</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/05/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,310</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$57,750,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>W7</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/06/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,310</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$57,750,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>R7</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/07/11</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,310</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$57,750,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>F7</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>1/10/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2,310</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$57,750,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BGT</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>T7</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/08/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>784</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$19,600,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>W7</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/09/10</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>784</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$19,600,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>R7</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12/10/10</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>784</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$19,600,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>All of the Funds, except BGT, financed the Preferred Share redemptions</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>with cash received from reverse repurchase agreements. BGT financed the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Preferred Share redemption with cash received from a loan.</FONT></P>

<P style="TEXT-ALIGN: left"><STRONG><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>8. Borrowings:</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BGT entered into a senior committed secured, 364-day revolving line of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>credit and a separate security agreement (the &#8220;SSB Agreement&#8221;) with State</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Street Bank and Trust Company (&#8220;SSB&#8221;). The SSB Agreement provides the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Fund with a maximum commitment of $172.2 million. The Fund has</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>granted a security interest in substantially all of its assets to SSB.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Advances are made by SSB to the Fund, at the Fund&#8217;s option of (a) the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>higher of (i) 0.8% above the Fed Effective Rate and (ii) 0.8% above the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Overnight LIBOR or (b) 0.8% above 7-day, 30-day, 60-day or 90-day LIBOR.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In addition, the Fund pays a facility fee and a commitment fee based upon</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>SSB&#8217;s total commitment to the Fund. The fees associated with each of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>agreements are included in the Statements of Operations as borrowing</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>costs. Advances to the Fund as of April 30, 2011 are shown in the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Statements of Assets and Liabilities as loan payable. The SSB Agreement</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>was renewed for 364 days under substantially the same terms effective</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>March 3, 2011. The commitment amount was increased from $134 million</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to $172.2 million. For the six months ended April 30, 2011, the daily</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>weighted average interest rate was 1.14%.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BGT may not declare dividends or make other distributions on shares or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>purchase any such shares if, at the time of the declaration, distribution</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>or purchase, asset coverage with respect to the outstanding short-term</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>borrowings is less than 300%.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>For the six months ended April 30, 2011, the daily weighted average inter-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>est rates for Funds with reverse repurchase agreements were as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="48%"></TD>

   <TD width="51%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSW</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.39%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSY</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.17%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BPP</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.35%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BTZ</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0.37%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="13%"></TD>

   <TD width="51%"></TD>

   <TD width="34%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>68</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

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<!--$$/page=--><A name="page_70"></A><BR>

<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Notes to Financial Statements (concluded)</FONT></P>

<P style="TEXT-ALIGN: left"><STRONG><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>9. Income Tax Information:</FONT><BR><BR></STRONG><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>As of October 31, 2010, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates:</FONT></P>

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<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="31%"></TD>

   <TD width="29%"></TD>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="9%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Expires October 31,</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>PSW</FONT></B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>PSY</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BPP</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BTZ</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>BGT</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2011</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 1,276,621</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2012</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>10,243,141</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 62,733,648</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2013</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>5,058,900</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17,911,331</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2014</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>8,481,628</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>12,145,117</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2015</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>6,724,694</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>19,582,978</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 18,184,893</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 49,741,712</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 3,268,804</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2016</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>40,232,230</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>140,413,242</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>58,197,929</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>113,355,213</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>24,616,531</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2017</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>55,825,534</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>194,970,854</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>108,996,120</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>223,939,227</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>45,385,443</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2018</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>4,498,024</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>37,285,625</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,245,888</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>15,223,841</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>16,526,601</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 132,340,772</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 485,042,795</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 200,624,830</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 402,259,993</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$ 89,797,379</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Under the recently enacted Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Funds after October 31, 2011 will not</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be subject to expiration. In addition, these losses must be utilized prior to the losses incurred in pre-enactment taxable years.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-Demi,Arial,Helvetica,sans-serif>10. Subsequent Events:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Management&#8217;s evaluation of the impact of all subsequent events on the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds&#8217; financial statements was completed through the date the financial</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>statements were issued and the following items were noted:</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Each Fund will pay a net investment income dividend on May 31, 2011 to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Shareholders of record on May 16, 2011 as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="46%"></TD>

   <TD width="53%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Dividend</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSW</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0495</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSY</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0535</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BPP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0540</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BTZ</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0690</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BGT</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0775</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Each Fund will pay a net investment income dividend on June 30, 2011 to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Common Shareholders of record on June 15, 2011 as follows:</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="46%"></TD>

   <TD width="53%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Dividend</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Per Share</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSW</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0495</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSY</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0535</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BPP</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0540</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BTZ</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0690</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BGT</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.0775</FONT>&nbsp;</TD></TR></TABLE></DIV>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>69</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Officers and Directors</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Richard E. Cavanagh, Chair of the Board and Director</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Karen P. Robards, Vice Chair of the Board,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Chair of the Audit Committee and Director</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Michael Castellano, Director and Member of the Audit Committee</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Richard S. Davis, Director</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Frank J. Fabozzi, Director and Member of the Audit Committee</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Kathleen F. Feldstein, Director</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>James T. Flynn, Director and Member of the Audit Committee</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Henry Gabbay, Director</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Jerrold B. Harris, Director</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>R. Glenn Hubbard, Director</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>W. Carl Kester, Director and Member of the Audit Committee</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>John M. Perlowski, President and Chief Executive Officer</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Anne Ackerley, Vice President</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brendan Kyne, Vice President</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Neal Andrews, Chief Financial Officer</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Jay Fife, Treasurer</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Brian Kindelan, Chief Compliance Officer</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Ira P. Shapiro, Secretary</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment Advisor</FONT></B><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Advisors, LLC</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wilmington, DE 19809</FONT><BR><BR><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Sub-Advisor</FONT></B><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BlackRock Financial Management, Inc.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10022</FONT><BR><BR><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Custodians</FONT></B><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State Street Bank and Trust Company</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Boston, MA 02111</FONT><BR><BR><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Transfer Agent</FONT></B><BR><FONT color=#231f20 size=2 face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif>Common Shares</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Computershare Trust Company, N.A.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Canton, MA 02021</FONT><BR><BR><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Accounting Agent</FONT></B><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>State Street Bank and Trust Company</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Princeton, NJ 08540</FONT><BR><BR><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Independent Registered Public Accounting Firm</FONT></B><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Deloitte &amp; Touche LLP</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Princeton, NJ 08540</FONT><BR><BR><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Legal Counsel</FONT></B><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Skadden, Arps, Slate, Meagher &amp; Flom LLP</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>New York, NY 10036</FONT><BR><BR><B><FONT color=#231f20 size=2 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Address of the Funds</FONT></B><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100 Bellevue Parkway</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Wilmington, DE 19809</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Effective November 10, 2010, Ira P. Shapiro became Secretary of the Funds.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Effective February 11, 2011, John M. Perlowski became President and Chief Executive Officer of the Funds.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Effective April 14, 2011, Michael Castellano became a Director of the Funds and a Member of the Audit Committee.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSW, PSY, BPP and BTZ are managed by a team of investment professionals.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Effective June 1, 2011, Jeffrey Cucunato, Mitchell S. Garfin, CFA and Stephan Bassas</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>are the Funds&#8217; co-portfolio managers responsible for the day-to-day management of</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>each Fund&#8217;s portfolio and the selection of their investments.</FONT></P>

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   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Additional Information</FONT><BR><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Dividend Policy</FONT></B><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds&#8217; dividend policy is to distribute all or a portion of their net</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>investment income to their shareholders on a monthly basis. In order to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>provide shareholders with a more stable level of dividend distributions, the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds may at times pay out less than the entire amount of net investment</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>income earned in any particular month and may at times in any particular</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>month pay out such accumulated but undistributed income in addition to<BR></FONT><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>net investment income earned in that month. As a result, the dividends paid</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by the Funds for any particular month may be more or less than the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>amount of net investment income earned by the Funds during such month.</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds&#8217; current accumulated but undistributed net investment income, if</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>any, is disclosed in the Statements of Assets and Liabilities, which com-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>prises part of the financial information included in this report.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>General Information</FONT></B><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>On July 29, 2010, the Manager announced that a derivative complaint</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>had been filed by shareholders of PSY and BTZ on July 27, 2010 in the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Supreme Court of the State of New York, New York County. The complaint</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>names the Manager, BlackRock, Inc. and certain of the directors, officers</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>and portfolio managers of PSY and BTZ as defendants. The complaint</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>alleges, among other things, that the parties named in the complaint</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>breached fiduciary duties owed to PSY and BTZ and their Common</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Shareholders by redeeming auction-market preferred shares, auction</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>rate preferred securities, auction preferred shares and auction rate securi-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ties (collectively, &#8220;AMPS&#8221;) at their liquidation preference. The complaint</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>seeks unspecified damages for losses purportedly suffered by PSY and</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BTZ as a result of the prior redemptions and injunctive relief preventing</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSY and BTZ from redeeming AMPS at their liquidation preference in the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>future. The Manager, BlackRock, Inc. and the other parties named in the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>complaint believe that the claims asserted in the complaint are without</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>merit and intend to vigorously defend themselves in the litigation.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>On November 15, 2010, the Manager announced the intention to redeem</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>all of the outstanding AMPS issued by five of its taxable closed-end funds:</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSW, PSY, BPP, BTZ, and BGT. All such outstanding AMPS were subsequently</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>redeemed. The redemptions encompass all remaining taxable AMPS issued</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>by BlackRock closed-end funds and total approximately $569 million. The</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>AMPS were redeemed with available cash or proceeds from reverse repur-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>chase agreement financing or a credit facility on a fund-by-fund basis and,</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in each case, the refinancing resulted in a lower cost of financing for each</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>fund under then-existing market conditions.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>In exchange for the shareholder plaintiff's agreement to withdraw a</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>previously filed motion for preliminary injunction enjoining any further</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>redemptions of AMPS, each of these funds agreed to provide the plaintiffs</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>in those actions with 30 days prior notice of any additional redemptions.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>On November 24, 2010, the Manager announced that counsel for the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>plaintiffs filed a motion for a preliminary injunction enjoining PSY and BTZ</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>from redeeming outstanding AMPS pending final resolution of the underly-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing shareholder derivative suit. The Manager announced that it intends to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>vigorously oppose the motion and completed the redemption of AMPS by</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSY and BTZ as previously announced, although the redemption dates for</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BTZ and PSY were conditioned upon the absence of any legal impediments</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>to completing the redemptions as scheduled.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>The Funds do not make available copies of their Statements of Additional</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Information because the Funds&#8217; shares are not continuously offered, which</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>means that the Statement of Additional Information of each Fund has not</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>been updated after completion of the respective Fund&#8217;s offerings and the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>information contained in each Fund&#8217;s Statement of Additional Information</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>may have become outdated.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>During the period, there were no material changes in the Funds&#8217; investment</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>objectives or policies or to the Funds&#8217; charter or by-laws that would delay or</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>prevent a change of control of the Funds that were not approved by share-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>holders or in the principal risk factors associated with investment in the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Funds. Other than as disclosed on page 70, there have been no changes in</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the persons who are primarily responsible for the day-to-day management</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>of the Funds&#8217; portfolio.</FONT><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>Quarterly performance, semi-annual and annual reports and other informa-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tion regarding the Funds may be found on BlackRock&#8217;s website, which can</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>be accessed at http://www.blackrock.com. This reference to BlackRock&#8217;s</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>website is intended to allow investors public access to information regard-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>ing the Funds and does not, and is not intended to, incorporate BlackRock&#8217;s</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>website into this report.</FONT></P>

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<FONT color="#394c87" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Additional Information (continued)</FONT><BR>
<BR>
<B><FONT color="#394c87" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">General Information (concluded)</FONT></B><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Electronic Delivery</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Electronic copies of most financial reports are available on the Funds&#146; web-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">sites or shareholders can sign up for e-mail notifications of quarterly state-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ments, annual and semi-annual reports by enrolling in the Funds&#146; electronic</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">delivery program.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Shareholders Who Hold Accounts with Investment Advisors, Banks</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">or Brokerages:</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Please contact your financial advisor to enroll. Please note that not all</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">investment advisors, banks or brokerages may offer this service.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Householding</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Funds will mail only one copy of shareholder documents, including</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">annual and semi-annual reports and proxy statements, to shareholders</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">with multiple accounts at the same address. This practice is commonly</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">called &#147;householding&#148; and is intended to reduce expenses and eliminate</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">duplicate mailings of shareholder documents. Mailings of your shareholder</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">documents may be householded indefinitely unless you instruct us other-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">wise. If you do not want the mailing of these documents to be combined</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">with those for other members of your household, please contact the Funds</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">at (800) 441-7762.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Availability of Quarterly Schedule of Investments</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Each Fund files its complete schedule of portfolio holdings with the SEC for</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the first and third quarters of each fiscal year on Form N-Q. Each Fund&#146;s</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Forms N-Q are available on the SEC&#146;s website at http://www.sec.gov and</FONT></P>
<P style="text-align: left;">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">may also be reviewed and copied at the SEC&#146;s Public Reference Room in</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Washington, DC. Information on how to access documents on the SEC&#146;s</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">website without charge may be obtained by calling (800) SEC-0330. Each</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund&#146;s Forms N-Q may also be obtained upon request and without charge</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">by calling (800) 441-7762.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Availability of Proxy Voting Policies and Procedures</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">A description of the policies and procedures that the Funds use to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">determine how to vote proxies relating to portfolio securities is available</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(1) without charge, upon request, by calling (800) 441-7762;</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(2) at http://www.blackrock.com; and (3) on the SEC&#146;s website at</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">http://www.sec.gov.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Availability of Proxy Voting Record</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Information about how each Fund voted proxies relating to securities</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">held in each Fund&#146;s portfolio during the most recent 12-month period</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ended June 30 is available upon request and without charge (1) at</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">http://www.blackrock.com or by calling (800) 441-7762 and (2) on</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the SEC&#146;s website at http://www.sec.gov.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Availability of Fund Updates</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock will update performance and certain other data for the Funds</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">on a monthly basis on its website in the &#147;Closed-end Funds&#148; section of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">http://www.blackrock.com. Investors and others are advised to periodically</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">check the website for updated performance information and the release of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">other material information about the Funds.</FONT></P>
<DIV align="left">
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<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">72</FONT>&nbsp;</TD>
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">APRIL 30, 2011</FONT>&nbsp;</TD>
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<P style="TEXT-ALIGN: left"><FONT color=#394c87 size=4 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>Additional Information (continued)</FONT><BR><BR><B><FONT color=#394c87 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Section 19(a) Notices</FONT></B><BR><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>These reported amounts and sources of distributions are estimates and are not being provided for tax reporting purposes. The actual amounts and sources</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>for tax reporting purposes will depend upon each Fund&#8217;s investment experience during the year and may be subject to changes based on the tax regula-</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tions. Each Fund will provide a Form 1099-DIV each calendar year that will explain the character of these dividends and distributions for federal income</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>tax purposes.</FONT></P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>April 30, 2011</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

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   <TD align=left>&nbsp;</TD>

   <TD colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Cumulative Distributions</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD colSpan=4 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>% Breakdown of the Total Cumulative</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>for the Fiscal Year</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Distributions for the Fiscal Year</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Realized</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Per</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Net Realized</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Total Per</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Gains</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Return of</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Investment</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Return of</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Common</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Short Term</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Share</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Income</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Gains</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Capital</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT color=#231f20 size=1 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif>Share</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSW</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.304500</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.304500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSY.</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.331000</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.331000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>0%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BPP</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.329431</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.007069</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.336500</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>98%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>2%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BTZ</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.392446</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.031554</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.424000</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>93%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>7%</FONT>&nbsp;</TD>

   <TD align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>BGT</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.162336</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.807664</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>$0.970000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>17%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>83%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT color=#231f20 size=1 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>100%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>PSW, PSY, BPP and BTZ Fund estimates that it has distributed more than the amount of earned income and net realized gains; therefore, a portion of the</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder&#8217;s investment in a Fund is returned to</FONT><BR><FONT color=#231f20 size=2 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif>the shareholder. A return of capital does not necessarily reflect a Fund&#8217;s investment performance and should not be confused with &#8216;yield&#8217; or &#8216;income&#8217;.</FONT></P>

<DIV align=left>

<TABLE border=0 cellSpacing=0>



<TR>

   <TD width="40%"></TD>

   <TD width="46%"></TD>

   <TD width="13%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>APRIL 30, 2011</FONT>&nbsp;</TD>

   <TD align=left><FONT color=#231f20 size=1 face=FranklinGothic-Book,Arial,Helvetica,sans-serif>73</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="text-align: left;">
<FONT color="#394c87" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Additional Information (concluded)</FONT><BR>
<BR>
<B><FONT color="#394c87" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">BlackRock Privacy Principles</FONT></B><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock is committed to maintaining the privacy of its current and former</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">fund investors and individual clients (collectively, &#147;Clients&#148;) and to safe-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">guarding their non-public personal information. The following information is</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">provided to help you understand what personal information BlackRock col-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">lects, how we protect that information and why in certain cases we share</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">such information with select parties.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">If you are located in a jurisdiction where specific laws, rules or regulations</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">require BlackRock to provide you with additional or different privacy-related</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">rights beyond what is set forth below, then BlackRock will comply with those</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">specific laws, rules or regulations.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock obtains or verifies personal non-public information from and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">about you from different sources, including the following: (i) information we</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">receive from you or, if applicable, your financial intermediary, on applica-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tions, forms or other documents; (ii) information about your transactions</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">with us, our affiliates, or others; (iii) information we receive from a consumer</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">reporting agency; and (iv) from visits to our websites.</FONT></P>
<P style="text-align: left;">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock does not sell or disclose to non-affiliated third parties any non-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">public personal information about its Clients, except as permitted by law</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">or as is necessary to respond to regulatory requests or to service Client</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">accounts. These non-affiliated third parties are required to protect the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">confidentiality and security of this information and to use it only for its</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">intended purpose.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">We may share information with our affiliates to service your account or to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">provide you with information about other BlackRock products or services</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">that may be of interest to you. In addition, BlackRock restricts access</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to non-public personal information about its Clients to those BlackRock</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">employees with a legitimate business need for the information. BlackRock</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">maintains physical, electronic and procedural safeguards that are designed</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to protect the non-public personal information of its Clients, including pro-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">cedures relating to the proper storage and disposal of such information.</FONT></P>
<DIV align="left">
<TABLE border=0 cellspacing=0>
<TR>
     <TD width=13%></TD>
     <TD width=51%></TD>
     <TD width=34%></TD></TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">74</FONT>&nbsp;</TD>
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">SEMI-ANNUAL REPORT</FONT>&nbsp;</TD>
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">APRIL 30, 2011</FONT>&nbsp;</TD>
</TR>
</TABLE>
</DIV>
<P style="MARGIN:0px">&nbsp;</P>

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<P style="text-align: left;">
<FONT color="#231f20" size=2 face="CorporateS-Light,Arial,Helvetica,sans-serif">This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="CorporateS-Light,Arial,Helvetica,sans-serif">considered a representation of future performance. The Funds leverage their Common Shares, which creates risk for Common</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="CorporateS-Light,Arial,Helvetica,sans-serif">Shareholders, including the likelihood of greater volatility of net asset value and market price of Common Shares, and the risk that</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="CorporateS-Light,Arial,Helvetica,sans-serif">fluctuations in short-term interest rates may reduce the Common Shares&#146; yield. Statements and other information herein are as dated</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="CorporateS-Light,Arial,Helvetica,sans-serif">and are subject to change.</FONT></P>
<IMG src="brtax-5sar0411x76x1.jpg" border=0>
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<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 2 &#150; Code of Ethics &#150; Not Applicable to this semi-annual report</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 3 &#150; Audit Committee Financial Expert &#150; Not Applicable to this semi-annual report</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 4 &#150; Principal Accountant Fees and Services &#150; Not Applicable to this semi-annual report</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 5 &#150; Audit Committee of Listed Registrants &#150; Not Applicable to this semi-annual report</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 6 &#150; Investments</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a) The registrant&#146;s Schedule of Investments is included as part of the Report to</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Stockholders filed under Item 1 of this Form.</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(b) Not Applicable due to no such divestments during the semi-annual period covered since</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the previous Form N-CSR filing.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 7 &#150; Disclosure of Proxy Voting Policies and Procedures for Closed-End Management</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Investment Companies &#150; Not Applicable to this semi-annual report</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 8 &#150; Portfolio Managers of Closed-End Management Investment Companies</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a) Not Applicable to this semi-annual report</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(b) As of the date of this filing, there have been no changes in any of the portfolio managers</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">identified in the most recent annual report on Form N-CSR.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 9 &#150; Purchases of Equity Securities by Closed-End Management Investment Company and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Affiliated Purchasers &#150; Not Applicable</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 10 &#150; Submission of Matters to a Vote of Security Holders &#150; There have been no material</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">changes to these procedures.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 11 &#150; Controls and Procedures</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a) &#150; The registrant&#146;s principal executive and principal financial officers, or persons</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">performing similar functions, have concluded that the registrant&#146;s disclosure controls and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">amended (the &#147;1940 Act&#148;)) are effective as of a date within 90 days of the filing of this</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">report based on the evaluation of these controls and procedures required by Rule 30a-3(b)</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">amended.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(b) &#150; There were no changes in the registrant&#146;s internal control over financial reporting (as</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of the period covered by this report that have materially affected, or are reasonably likely to</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">materially affect, the registrant&#146;s internal control over financial reporting.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 12 &#150; Exhibits attached hereto</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a)(1) &#150; Code of Ethics &#150; Not Applicable to this semi-annual report</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a)(2) &#150; Certifications &#150; Attached hereto</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a)(3) &#150; Not Applicable</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(b) &#150; Certifications &#150; Attached hereto</FONT></P>

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<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the undersigned, thereunto duly authorized.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Trust</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">By: </FONT><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/S/ John M. Perlowski</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">John M. Perlowski</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Executive Officer (principal executive officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Trust</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: July 5, 2011</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Company Act of 1940, this report has been signed below by the following persons on behalf</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of the registrant and in the capacities and on the dates indicated.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">By: </FONT><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/S/ John M. Perlowski</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">John M. Perlowski</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Executive Officer (principal executive officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Trust</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: July 5, 2011</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">By: </FONT><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/S/ Neal J. Andrews</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Neal J. Andrews</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Financial Officer (principal financial officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Trust</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: July 5, 2011</FONT></P>

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<DOCUMENT>
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<P style="text-align: left;">
<B><FONT size=2 face="Arial-BoldMT,Arial,Helvetica,sans-serif">EX-99.CERT</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">THE SARBANES-OXLEY ACT OF 2002</FONT></B><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">I, John M. Perlowski, Chief Executive Officer (principal executive officer) of BlackRock Floating Rate Income Trust,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">certify that:</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1. I have reviewed this report on Form N-CSR of BlackRock Floating Rate Income Trust;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">material fact necessary to make the statements made, in light of the circumstances under which such statements were made,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">not misleading with respect to the period covered by this report;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">in this report;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">designed under our supervision, to ensure that material information relating to the registrant, including its</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">which this report is being prepared;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">b) designed such internal control over financial reporting, or caused such internal control over financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial reporting and the preparation of financial statements for external purposes in accordance with generally</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">accepted accounting principles;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">days prior to the filing date of this report based on such evaluation; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">d) disclosed in this report any change in the registrant's internal control over financial reporting that</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reasonably likely to materially affect, the registrant's internal control over financial reporting; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of the registrant's board of directors (or persons performing the equivalent functions):</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">summarize, and report financial information; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">b) any fraud, whether or not material, that involves management or other employees who have a significant</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">role in the registrant's internal control over financial reporting.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: July 5, 2011</FONT><BR>
<BR>
<U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/S/ John M. Perlowski</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">John M. Perlowski</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Executive Officer (principal executive officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Trust</FONT></P>

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

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<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: July 5, 2011</FONT><BR>
<BR>
<U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/S/ Neal J. Andrews</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Neal J. Andrews</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Financial Officer (principal financial officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Trust</FONT></P>

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<TYPE>EX-99
<SEQUENCE>6
<FILENAME>bgt906.htm
<DESCRIPTION>CERTIFICATION
<TEXT>

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<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Exhibit 99.1350CERT</FONT><BR>
<BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Certification Pursuant to Rule 30a-2(b) under the 1940 Act and</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Section 906 of the Sarbanes Oxley Act</FONT></B><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Pursuant to 18 U.S.C. &#167; 1350, the undersigned officer of BlackRock Floating Rate Income Trust (the &#147;registrant&#148;), hereby</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">certifies, to the best of his knowledge, that the registrant's Report on Form N-CSR for the period ended April 30, 2011 (the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#147;Report&#148;) fully complies with the requirements of Section 13a of the Securities Exchange Act of 1934, as amended, and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">that the information contained in the Report fairly presents, in all material respects, the financial condition and results of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">operations of the registrant.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: July 5, 2011</FONT><BR>
<BR>
<U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/S/ John M. Perlowski</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">John M. Perlowski</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Executive Officer (principal executive officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Trust</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Pursuant to 18 U.S.C. &#167; 1350, the undersigned officer of BlackRock Floating Rate Income Trust (the &#147;registrant&#148;), hereby</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">certifies, to the best of his knowledge, that the registrant's Report on Form N-CSR for the period ended April 30, 2011 (the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#147;Report&#148;) fully complies with the requirements of Section 13a of the Securities Exchange Act of 1934, as amended, and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">that the information contained in the Report fairly presents, in all material respects, the financial condition and results of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">operations of the registrant.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: July 5, 2011</FONT><BR>
<BR>
<U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/S/ Neal J. Andrews</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Neal J. Andrews</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Financial Officer (principal financial officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Trust</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">This certification is being furnished pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and 18 U.S.C. Section 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Commission</FONT><B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">.</FONT></B></P>

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